Upside Potential Ratio
The Upside-Potential Ratio is a measure of a return of an investment asset relative to the minimal acceptable return. The measurement allows a firm or individual to choose investments which have had relatively good upside performance, per unit of downside risk.
where the returns have been put into increasing order. Here is the probability of the return and which occurs at is the minimal acceptable return. In the secondary formula and .
The Upside-Potential Ratio may also be expressed as a ratio of partial moments since is the first upper moment and is the second lower partial moment.
The measure was developed by Frank A. Sortino.
Read more about Upside Potential Ratio: Discussion
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