The Sortino ratio is a refinement of the Sharpe ratio that only penalizes downside volatility, not big winning trades. For trading strategies with asymmetric, high reward-to-risk payoffs it is often more informative than Sharpe, because it rewards rather than punishes large gains.
This term belongs to Risk & statistics. See how it fits the bigger picture in The Money, part of the free DEGEN ACADEMY — or watch it play out on the live terminal.
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FAQ
What is Sortino ratio?
The Sortino ratio is a refinement of the Sharpe ratio that only penalizes downside volatility, not big winning trades. For trading strategies with asymmetric, high reward-to-risk payoffs it is often more informative than Sharpe, because it rewards rather than punishes large gains.