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Sortino Ratio
Glossary · Core Metrics
Definition
Like the Sharpe Ratio, but only penalizes downside volatility. Better when returns are skewed.
A strategy with large upside swings but small drawdowns will have a higher Sortino than Sharpe.
Terms are defined in the context of how ArthaPilot uses them. For authoritative definitions, consult the SEC, IRS, or a qualified financial advisor.