What Are Typical Values?
One would expect to see Sortino ratios change significantly for most asset classes between the two decades of the 1980s and 1990s and the “lost decade” of the 2000s. Indeed, that is the case. The numerator of the Sortino ratio was reduced in the 2000s as many asset classes struggled to outperform the risk-free cash rate. The denominator was increased, as markets exhibited more downside deviations short of the 0.0% minimum acceptable return (MAR).