Sortino Ratio
Sortino Ratio — A variant of Sharpe ratio that only penalises downside volatility.
- Quick definition: A variant of Sharpe ratio that only penalises downside volatility.
- Category: Performance Metrics
Full Definition
Most quants prefer Sortino because traders care about losses, not "volatility" in general. A Sortino above 1.5 is considered strong.
Related Terms
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