Sortino ratio
A measure of return per unit of risk where only downside counts as risk.
How to read the number
It differs from the Sharpe ratio by not punishing a strategy for going up: an investor worries about drawdown, not about deviation upwards.
A measure of return per unit of risk where only downside counts as risk.
It differs from the Sharpe ratio by not punishing a strategy for going up: an investor worries about drawdown, not about deviation upwards.