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Sortino ratio results analysis

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Sortino Ratio Results Analysis

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Oops When using the semi downside deviation under the Sortino ratio the current portfolio ration will not change between optimizations.  If, however the weightings in subsequent optimizations changes, then logically the resulting Sortino ratio will also change. The ratio will also change when changes are made to the risk free rate as this is used by deducting from return in the numerator of the ratio.

A large weighting for an asset can be made even though the return is low as its contribution to overall risk may be significant as either low risk or negatively correlated to other assets risk. 
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