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€$
EUR / USD 1.1452 ▼ -0.39%
NQ
NAS 100 22,918 ▼ -0.65%
₿
Bitcoin 66,612 ▲ +1.00%
Au
XAU / USD 2,318.4 ▲ +0.53%
£$
GBP / USD 1.3175 ▼ -0.06%
Ξ
Ethereum 2,042.5 ▲ +2.94%
DJ
US 30 42,518 ▼ -0.21%
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Risk Management Advanced 1 min read

Sortino Ratio

Definition
Like Sharpe but only considers downside volatility.

The Sortino Ratio is a risk‑adjusted performance metric akin to the Sharpe Ratio, but it isolates only the downside volatility of an investment. It is computed as the excess return over a a