Sortino Ratio

Risk Metrics

Similar to Sharpe Ratio but uses only downside volatility in the denominator rather than total volatility. Calculated as (return − risk-free rate) / downside volatility. The Sortino Ratio rewards strategies that generate returns with limited downside risk. A strategy that has high positive volatility but protected downside will have a higher Sortino Ratio than Sharpe Ratio, reflecting its superior risk-adjusted performance.

Mentioned in this definition

Sharpe RatioVolatility

More in Risk Metrics

Bear MarketBetaBull MarketCalmar RatioCorrelationDrawdownMaximum DrawdownSystematic RiskVaR (Value at Risk)

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