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Does anyone have the formula for the Sortino Ratio (a system evaluation
statistic based on semi-variance.)
It looks like it's a big improvement over stats like the Sharpe Ratio,
which penalize upside volatility equally along with downside volatility.
(If my account when up 1000% in a month I sure wouldn't complain ...)
I've poked around the web some without much success ...
Thanks,
Cab Vinton
cvinton@xxxxxxxxxxx
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