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H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 10
83.84%
13.32%
-IndustryYearLast 5
-8.66%
13.32%
5
+GlobalYearTop 10
82.02%
14.27%
-GlobalMonthLast 5
-9.87%
1.05%
A
+GlobalYearTop 10
68.33%
15.6%
-IndustryMonthLast 25
1.97%
1.27%

Sortino Ratio

A ratio of the excess returns (security returns minus the risk-free returns), divided by the downside deviation.
A large Sortino ratio indicates there is a low probability of a large loss. We are using 3-years of returns, monthly samples and the SPY index as a benchmark.



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