When do we use Sortino vs. RoMad?
Sortino - 1) when asked to calc in a question and 2) when you need to consider optionality in a strategy. RoMad - I believe this is most associated with hedge fund performance evaluation.
FastEd rips it to shreds. BOOM!!!
I think Sortino is used when you have downside deviation vs Romad when you have maximum drawdown.
^^ also true…
Shrute Farms Wrote: ------------------------------------------------------- > FastEd rips it to shreds. BOOM!!! Did somebody say my name…
use sortino when volatility is skewed to the upside. that way you don’t penalize the manager for upside volatility. use ROMAD when you are concerned with risk tolerance? Some clients will say they don’t want to lose more than x% at a point. maybe I’m wrong on this one
florinpop Wrote: ------------------------------------------------------- > use sortino when volatility is skewed to the > upside. that way you don’t penalize the manager > for upside volatility. > > use ROMAD when you are concerned with risk > tolerance? Some clients will say they don’t want > to lose more than x% at a point. maybe I’m wrong > on this one I think in your second point you are referring to minimum acceptable return?? …which would be used in the Sortino ratio…not in the ROMAD…RoMAD…is exactly as the name says : Return Over Maximum Drawdown.
mumukada Wrote: > ROMAD…RoMAD…is exactly as the name says : > Return Over Maximum Drawdown. Looks like Calmar ratio.
mumu what I was saying and maybe I wasn’t clear is that some clients can’t deal with a high downside move.
^^^ yup…ok.