Metric guide
Like Sharpe - but penalizes mainly downside volatility
Sortino (90d) is similar to Sharpe, but it mainly penalizes downside volatility instead of all volatility. It asks whether recent return came with harmful instability rather than just movement of any kind.
Sortino is often easier to accept intuitively because upside swings are not treated as equally bad. But it is still a short-window efficiency metric, not a full risk review.
Technical definition, calculation notes and sources stay available here without dominating the explanation.
The Sortino ratio is closely related to Sharpe, but it compares return only to “bad” volatility.
More precisely: only negative daily returns contribute to downside volatility - positive swings are not penalized.
That often feels more intuitive: an asset that rises steadily but is volatile mostly on the upside is penalized less than with Sharpe.
Use the ranking after the explanation, not as a standalone investment signal.
Continue into connected score and metric explanations.
Open related score explanations.
Open related metric explanations.
These related metrics add the context this metric cannot provide on its own.
Compare it with Sharpe (90d) to see whether total volatility and downside-only volatility lead to different conclusions.
Use Max Drawdown (365d) to add a concrete loss-event perspective that a short ratio alone cannot provide.
Use Return/Vol Ratio for a simpler efficiency lens that anchors recent risk against 1-year return.
