Sortino ratio
Glossary · Core metrics
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Definition
Like the Sharpe Ratio, but only penalizes downside volatility. Better for skewed returns.
A strategy with large upside swings but small drawdowns will have a higher Sortino than Sharpe.
Glossary · Core metrics
Like the Sharpe Ratio, but only penalizes downside volatility. Better for skewed returns.
A strategy with large upside swings but small drawdowns will have a higher Sortino than Sharpe.