bahA tpaC
07-12-2006, 10:32 AM
As the creator of the Sortino Ratio, I was gratified to see its inclusion in this article. Increasingly used in the professional investment community, the Sortino represents a major improvement of the Sharpe Ratio when the data are non-normal (i.e., asymmetric, which is very likely to better approximate the distribution poker returns since, while the better players may have high variance (i.e., a low Sharpe ratio), but, since most of their returns will lie to the upside of the distribution (i.e., it will be positively skewed) they will show a higher Sortino Ratio. Vice versa for losing players. For this reason I have long felt that using variance to assess poker skill is incorrect.
Additional information on this approach can be found at www.investmenttechnologies.com (http://www.investmenttechnologies.com)
Additional information on this approach can be found at www.investmenttechnologies.com (http://www.investmenttechnologies.com)