The Sortino Ratio follows on from the Sharpe Ratio, but considers only the downside volatility/deviation as opposed to total volatility. Similar to the Sharpe ratio, the higher the Sortino Ratio the better.
The Sortino Ratio follows on from the Sharpe Ratio, but considers only the downside volatility/deviation as opposed to total volatility. Similar to the Sharpe ratio, the higher the Sortino Ratio the better.
