D00-F11-A08 · SYNTHETIC TEACHING DATA

Sharpe, Sortino, and Information Ratio Intuition

Change one downside return and compare all three ratios. Predict before revealing more observations.

Loss confidence: 95 %

CHOOSE · 8 OF 48 OBSERVATIONS

Predict the direction

Sharpe=mean(r−rf)/s(r−rf); Sortino=mean(r−rf)/downside; IR=mean(r−b)/s(r−b)

Keyboard: ← Back, → Step, Space Play/Pause, R Reset.