Measure
Sortino ratio
Definition
Excess return per unit of downside deviation only.
Formula
Sortino = (R_p − target) / σ_downside
How to read it
It answers the Sharpe objection by penalising only returns below a chosen target.
What it does not tell you
Downside deviation is estimated from fewer observations than total volatility, so the figure is noisier and moves around with the target you pick. The choice of target is rarely disclosed.
Applied in 2 articles
2Every figure computed with this measure on this site follows the conventions set out in the methodology. All measures →