FoxScore

Metric guide

Sortino (90d)

Like Sharpe - but penalizes mainly downside volatility

Standalone ranking availableFoxScore methodology
Plain-language summary

What this metric tells you

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.

Key takeaway

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.

FoxScore context

How FoxScore uses it

  • FoxScore uses Sortino (90d) when users want a recent efficiency metric with a downside focus.
  • It is useful for comparing assets that may look similar on raw return but very different on downside behavior.
  • The metric complements Sharpe rather than replacing it.

How to interpret this metric

What it measures

  • How much recent return was earned relative to downside volatility.
  • Which assets protected the downside better while still producing gains.
  • A more downside-sensitive efficiency view than Sharpe.

How to read it

  • Higher is better because more return was generated per unit of downside noise.
  • Values near or below zero mean recent payoff did not compensate for downside risk.
  • A big gap versus Sharpe often tells you upside volatility was present but downside control was better.

What can mislead

  • Longer-term durability outside the 90-day window.
  • You assume downside volatility captures every relevant form of risk.
  • You over-trust a short window that may reflect one temporary regime.

Most useful when

  • You care more about bad volatility than about upside excitement.
  • You want a recent tactical screen that punishes harmful instability more selectively.
  • You compare recent leaders and want to know which one protected the downside better.

Important limits

  • Longer-term durability outside the 90-day window.
  • Large but rare drawdowns that may not dominate the short sample.
  • Whether the asset now looks stretched after the move.
Methodology and sources

Technical definition, calculation notes and sources stay available here without dominating the explanation.

Description

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.

Calculation

  • 1) r_t = (Price_t / Price_{t-1}) − 1
  • 2) R_90 = Π(1 + r_t) − 1
  • 3) r_t^- = min(r_t, 0)
  • 4) σ^- = std(r_t^-)
  • 5) σ^-_90 = σ^- * √90
  • 6) R_90 / σ^-_90

Interpretation

  • Higher is better.
  • Negative values mean: the return over the window was negative (with downside risk).

Metric ranking

Data is temporarily unavailable

The route itself is valid, but the server could not load the current dataset right now. The page stays available and should recover automatically on the next successful fetch.

Related hubs

Continue into connected score and metric explanations.

  1. Scores

    Open related score explanations.

    Overall scorePerformanceStabilityTrend

  2. Metrics

    Open related metric explanations.

    Return 1 YearReturn (3y)Return (5y)Return (10y)Volatility (365d, annualized)Max Drawdown (365d)

Read together with

These related metrics add the context this metric cannot provide on its own.

Sharpe (90d)

Compare it with Sharpe (90d) to see whether total volatility and downside-only volatility lead to different conclusions.

Max Drawdown (365d)

Use Max Drawdown (365d) to add a concrete loss-event perspective that a short ratio alone cannot provide.

Return/Vol Ratio

Use Return/Vol Ratio for a simpler efficiency lens that anchors recent risk against 1-year return.