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Sortino Ratio

The Sortino Ratio is the return earned in excess of a Minimum Acceptable Return (MAR) per unit of risk as defined as downside deviation. The Sortino Ratio is a variation of the Sharpe Ratio that differentiates harmful volatility from total volatility. The higher the Sortino Ratio, the better the returns have been relative to the volatility of the downside risk. 

The default risk free rate on Allocator is the 10-year Treasury Constant Maturity Rate, but this can be changed.

The Minimum Acceptable Return on Allocator is 2% but this can be changed.