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H
BestScopePeriodSample%ChangeS&P500
1
+IndustryYearTop 5
101.89%
5.59%
-GlobalYearLast 5
-45.23%
5.59%
5
+IndustryYearTop 5
55.95%
5.93%
-IndustryYearLast 25
-14.69%
5.93%
A
+GlobalYearTop 5
61.31%
14.72%
-IndustryWeekLast 10
0.29%
0.23%

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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