Sortino Ratio

Similar to the Sharpe Ratio, the Sortino Ratio serves as a measure of risk-adjusted performance for an investment or portfolio. It also looks at the performance of a portfolio in comparison to a “risk-free” asset. But rather than look at the overall performance volatility, the Sortino Ratio focuses on the most significant losses in the performance data. For this reason, the Sortino Ratio may get used by investors to filter out those investments or assets subject to significant drawdowns, regardless of their overall ROI.