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H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 25
2003.39%
16.77%
-IndustryYearLast 5
-33.35%
16.77%
5
+GlobalYearTop 25
82.07%
16.78%
-IndustryYearLast 5
-12.31%
16.78%
A
+GlobalYearTop 5
67.94%
15.48%
-IndustryWeekLast 5
0.12%
0.25%

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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