What is the Sortino Ratio?
The Sortino ratio measures the risk-adjustment return on an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio, but penalizes only those returns falling below a user-specified target or required rate of return – while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that some people find to be more relevant than the Sharpe ratio.
