Glossary · Risk
Sortino ratio
Like the Sharpe ratio, but measuring only downside volatility.
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The Sortino ratio replaces total standard deviation with downside deviation — the variability of returns below a target. Upside swings therefore do not count against the score.
For funds whose gains arrive in bursts, Sortino often reads more favourably than Sharpe. The difference between the two is itself informative about the shape of a return distribution.
How we calculate it
Mean weekly return ÷ downside deviation × √52, over 1, 3 and 5 years of weekly closes. The target is zero; the downside deviation counts every week, a week with a gain as zero shortfall.
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