Like Sharpe ratio but only penalizes downside volatility.
Sortino ratio is computed identically to Sharpe except the denominator only uses the standard deviation of returns below the mean (downside deviation). It is more honest for asymmetric strategies that have many small wins and rare large losses, or vice versa.
Sortino ratio is computed identically to Sharpe except the denominator only uses the standard deviation of returns below the mean (downside deviation). It is more honest for asymmetric strategies that have many small wins and rare large losses, or vice versa.