Scaling the Sharpe & Sortino Ratios For Daily Returns

The Sharpe Ratio      The Sharpe Ratio is one of the more popular ways to evaluate an investment for risk as well as for returns. Assessing the risk of an investment is not easy.  The Sharpe Ratio won’t protect you if the provider is dishonest (e.g., Bernie Madoff) or if historical patterns change (e.g., default rates on AAA-rated mortgage-backed securities).  However the ratio does factor-in historic …

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