Sortino Ratio

The Sortino ratio is a variant of the Sharpe ratio that distinguishes harmful volatility from overall volatility by utilising the asset's standard deviation of negative portfolio returns—downside deviation—rather than the total standard deviation of portfolio returns. The ratio calculates an asset or portfolio's return, subtracts the risk-free rate, and divides the result by the asset's downside deviation. It is named after Frank A. Sortino.