The Dutch triangle - A framework to measure upside potential relative to downside risk.

F. Sortino, R.A.H. van der Meer, A. Plantinga

Research output: Contribution to journalArticleAcademicpeer-review

125 Citations (Scopus)

Abstract

This article offers a framework for a new performance measure based on behavioral finance theory The authors argue that the average return above a designated minimal acceptable return is a proxy for upside potential, a valuable new way of measuring return. Style analysis is a very important factor. Unlike the information ratio, however, the "upside potential ratio" that the authors propose does not penalize the manager for performance above the manager's benchmark. An analysis of Dutch mutual funds indicates this approach is applicable to small markets as well as large markets.

Original languageEnglish
Pages (from-to)50 - 58
Number of pages9
JournalJournal of Portfolio Management
Volume26
Issue number1
Publication statusPublished - 1999

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