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H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 5
63.51%
18.83%
-GlobalYearLast 10
-14.27%
18.83%
5
+GlobalYearTop 5
62.23%
17.86%
-GlobalYearLast 10
-15.76%
17.86%
A
+GlobalYearTop 10
68.6%
16.04%
-IndustryMonthLast 25
1.74%
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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