Risk & performance

Sortino ratio

Also known as: Sortino

The Sortino ratio is a risk-adjusted return measure like the Sharpe ratio, but it only penalises downside (harmful) volatility.

By dividing excess return by downside deviation rather than total standard deviation, it doesn't punish a strategy for large upside moves. This makes it a better fit for strategies with asymmetric return profiles. Algovex reports the Sortino ratio alongside the Sharpe.

Related terms

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