Most useful when
Sortino (90d) is most useful when you want to judge the quality of return over a holding period instead of only reading the latest price move.
Metric detail
Ranking viewSortino (90d)
Like Sharpe - but penalizes mainly downside volatility
Metric ranking
Metric ranking
See which assets currently stand out on this metric.
Top Assets
- 56.14
- 10.63
- 9.63
- 9.46
- 8.26
- 7.86
- 7.73
- 7.62
- 7.50
- 7.28
Bottom Assets
- -2.28
- -2.28
- -2.30
- -2.30
- -2.31
- -2.31
- -2.37
- -2.39
- -2.40
- -2.40
Assets with missing values are hidden. · Top Assets · 25 Entries · Bottom Assets · 25 Entries
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When to use this metric
Use this metric to read one signal clearly.
Read the explanation first. Then use the ranking to compare the signal across assets.
What it helps you see
This performance lens separates raw outcome from the amount of risk, drawdown, or efficiency needed to achieve it.
Why it changes the ranking view
Use it to distinguish impressive-looking return from return that is genuinely repeatable or efficient enough to matter in comparison.
What to open next
Use the definition and formula first, then compare the ranking to see which assets currently stand out on this return lens.
Metric explainer
Read the definition, sources, calculation, and interpretation after the ranking above.
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.
Source
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).