Sortino vs Sharpe
InvestingDefinition
Sharpe ratio penalizes ALL volatility (including upside); Sortino only penalizes DOWNSIDE volatility. Sortino is more relevant for asymmetric strategies (long-only equity, options, levered ETFs) where upside swings are good.
Sortino is always ≥ Sharpe. The bigger the gap, the more positively skewed the strategy's returns.
Sortino is always ≥ Sharpe. The bigger the gap, the more positively skewed the strategy's returns.