confused with the definitions. can somebody name these? 1- Rp-Rf / downside 2- Rp-MAR / std 3- Rp-MAR / downside
1- Rp-Rf / downside (this one escapes me… like the other 98% of the crud of read) 2- Rp-MAR / std (Roys Saftey First - like Sharpe by instead of Rf, use some other value) 3- Rp-MAR / downside (Sortino Ratio - computes volatility using only rates of return data below the MAR.
Don’t think #1 is anything. #2 and 3 are correct.
so the definition of “downside” in Sortino: The include returns that are under MAR so it will not be the same “downside deviation” in 1, if it exists, maybe returns under “0” or “mean”
sometimes MAR (minimum acceptable return) can be defined as Rf, since MAR can be anything you chose for it to be, then #1 will also be Sortino, but usually “true” Sortino is #3