Sharpe & Sortino – Does it matter?

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Sharpe & Sortino – Does it matter?

nilssonhedge.substack

3 years ago

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In this exploration, we study the difference between the Sharpe and the Sortino ratio. These two popular ratios are often used in factsheets or when discussing managers. In the end, we find that the choice is largely irrelevant. If you have a favorite ratio, now is the time to revise that belief.With regard to performance ratios, some investors strongly believe in one type of measurement over the other. One example of a debate that is occasionally ongoing is the difference between the Sharpe and...

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