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H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 5
61.77%
21.11%
-GlobalYearLast 25
-4.79%
21.11%
5
+GlobalYearTop 10
64.3%
19.85%
-GlobalYearLast 25
-13.56%
19.85%
A
+GlobalYearTop 5
45.61%
15.21%
-IndustryMonthLast 25
1.47%
1.2%

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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