Evaluation metric
Sortino Ratio rare
Sortino Ratio, Sortino
Definition
Excess return divided by downside deviation rather than total volatility.
Boundary
It depends on the chosen target return and can look flattering when losses are rare in the sample.
0 Strategies
0 Text mentions
0 Code hits
Role distribution
No role distribution.
Market regimes
Uptrend0/0Downtrend0/0Range0/0Breakout Onset0/0High Volatility0/0Low Volatility0/0Reversal Inflection0/0All Regimes0/0
Common parameters
No parameter samples.
Frequent co-occurrence
No co-occurrence records.
Semantic relations
- Derivation ← Sharpe RatioThe Sortino ratio is a Sharpe variant that penalizes only downside volatility.
Evidence strategies
No evidence strategies.
Corpus quotes
No quotes.