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What is Sortino Ratio?

Statistics

Sortino Ratio

A measure with the same purpose as the Sharpe ratio, but only downside volatility goes into the denominator. It addresses the Sharpe ratio's weakness of penalizing large gains as volatility. The view is that upward jumps are not a problem and downward drops are. Read together with the Sharpe ratio, it shows which direction the swings came from.

Sortino Ratiodownside onlyupside excludeddownside swing onlylooked at separately

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Sortino Ratio meaning — Trading glossary | MarketSurfer