Sharpe vs Sortino
- I'm wondering if within HF industry is one preferred/superior over the other? If so, why?
- Does usage of one or the other varies with HF strategy (macro, long-bias equity, market neutral long-short equity, etc.)?
- As both can be gamed (e.g. using monthly returns as opposed to daily returns) I'm wondering what is within HF industry considered sound/honest practice of calculating these metrics?
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Sharpe is much more common. The main difference between the two is just skew, and tail risk/drawdown stats can easily be reported separately. Yes, asymmetry may be more relevant for some strategy types than others (mean-reversion strats broadly have negative skew, obviously if options are involved you want to know about any short vol bias, etc) but in general sharpe is still much more intuitive and its shortcomings are well understood.
Agree, Sharpe more common. I've still seen some funds report both Sharpe and Sortino in their marketing materials.
What about Information ratio or treynor ratio ?
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