For example , when t is close to the risk - free rate , the Sortino Ratio for T - Bill 's will be higher than that for the S&P 500 , while the Sharpe ratio remains unchanged .
These patterns will change again for different values of t .
When t is close to the risk - free rate , the Sortino Ratio for T - Bill 's will be higher than that for the S&P 500 , while the Sharpe ratio remains unchanged .
These patterns will change again for different values of t .