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H
BestScopePeriodSample%ChangeS&P500
1
+GlobalYearTop 10
39.95%
16.16%
-GlobalYearLast 5
-13.33%
16.16%
5
+GlobalYearTop 5
37.91%
16.12%
-GlobalYearLast 5
-20.12%
16.12%
A
+GlobalYearTop 5
30.53%
15.89%
-IndustryWeekLast 25
-0.15%
0.24%

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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