Definition
Sortino Ratio
Return per unit of downside risk, ignoring good volatility.
The Sortino ratio is a refinement of the Sharpe ratio that counts only downside volatility — the swings that actually hurt — rather than penalizing a portfolio for its upside surprises. That makes it a fairer gauge for strategies with uneven but mostly favorable returns. Market Lens reports the Sortino ratio alongside the Sharpe ratio in its portfolio analytics.
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