Sortino (3Y, track-adjusted)
Sortino over the last 3 calendar years × √(track age / 3y). A ranking score, not a ratio: young accounts are shrunk toward zero in proportion to how little statistical evidence their track carries.
- Computed from
- Equity curve
- Scope
- Single report
- Range
- Any real number
- Direction
- Higher is better
Sortino over the last 3 calendar years × √(track age / 3y). A ranking score, not a ratio: young accounts are shrunk toward zero in proportion to how little statistical evidence their track carries.
A full write-up for this metric is on the way. The definition above matches the engine exactly, and you can read the general concept on Wikipedia below.
Related metrics
Computed onReturn Series (money-weighted)
Compare withSortino Ratio
Variant ofSortino Ratio
See alsoSharpe Ratio