• Benchmarking through Sharpe and Sortino ratios:

$$Sharpe\,\,ratio = \frac{m_G - r_f}{sd}\quad\quad Sortino\,\,ratio = \frac{m_G - r_f}{smd}$$

        $m_G$: the effective rate of return

        $r_f$: the risk-free rate

        $sd$: the volatility of the returns

        $smd$: the semideviation of the returns

• You want both metrics to be higher than the ones of the benchmark