Sortino Ratio

A risk-adjusted return measure that only penalizes downside volatility.

The Sortino ratio refines the Sharpe ratio by using only downside deviation in the denominator, rather than total volatility. This rewards strategies that are volatile to the upside but stable on the downside, better matching how most investors actually experience risk.

Because it punishes only downside swings, the Sortino ratio flattered the fund's choppy but rarely losing returns.