索丁诺比率(SortinoRatio)
它与夏普比率类似，不同的只是并不以标准偏离为标准，而是用下跌偏离，即投资组合偏离其平均跌幅的程度，来区分波动的好坏。
但与20年前开发该比率的弗兰克·索丁诺同名的这一指标在评估对冲基金的过程中也同样出现问题。“我觉得它被过多地使用是因为它让对冲基金的业绩看上去非常好，”索丁诺说。“它只是表明最低风险，所以很容易对投资者产生误导”。索丁诺目前是旧金山Pension Research Institute的主管，“我不喜欢人们用我的名字来命名它。”
TheSortino ratiomeasures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that treats risk more realistically than the Sharpe ratio. The ratio is calculated as:
, where R is the asset or portfolio realized return; T is the target or required rate of return for the investment strategy under consideration, (T was originally known as the minimum acceptable return, or MAR); DR is the downside risk. The downside risk is the target semideviation = square root of the target semivariance (TSV). TSV is the return distribution's lower-partial moment of degree 2 (LPM2).
whereTis often taken to be the risk free interest rate and f() is thepdfof the returns. Thus, the ratio is the actual rate of return in excess of the investor's target rate of return, per unit of downside risk. The ratio was created by Brian M. Rom in 1986 as an element of Investment Technologies' Post-Modern Portfolio theory portfolio optimization software.
