H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 5
43.92%
14.49%
-IndustryYearLast 10
-44.02%
14.49%
5
+GlobalYearTop 5
34.01%
13.75%
-IndustryYearLast 5
-7.98%
13.75%
A
+GlobalYearTop 5
31.8%
15.11%
-IndustryYearLast 5
6.51%
15.11%

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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