Articles tagged “Downside Risk”
4 articles.
- Sortino ratio in mutual fund performance
The Sortino ratio is a risk-adjusted return measure similar to Sharpe ratio but using only downside deviation (not total volatility). Covers the formula, …
- Sortino ratio in mutual funds
The Sortino ratio is a risk-adjusted performance measure that divides excess return by downside deviation, the standard deviation of only negative returns, …
- Maximum drawdown in mutual funds
Maximum drawdown (MDD) is the largest peak-to-trough decline in a mutual fund's NAV during a specified period. It measures the worst-case loss an investor could …
- Downside capture ratio in mutual funds
The downside capture ratio measures what percentage of benchmark losses a mutual fund captures when the benchmark delivers a negative return. A ratio below 100 …