Samaniego, Angel; Rodríguez Reyes, Luis Raúl - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 269-293
of selecting the best one for a passive investing strategy. To solve this question, departing from the Sortino ratio, a … deviation on the negative target return. The new performance measure gives different results to those of the traditional Sortino … ratio, with the IPC large cap being the best index for a passive strategy, in terms of risk-reward ratio and return target. …