Sharpe & Sortino - Does It Matter?
By Linus Nilsson, founder of NilssonHedge, a hedge fund database.
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.
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