Asset Allocation & Risk
How does the Sortino ratio differ from the Sharpe ratio?
The Sortino ratio is a risk-adjusted performance measure that modifies the Sharpe ratio. The Sharpe ratio treats upward and downward volatility equally as risk, whereas the Sortino ratio counts only downside returns that fall short of a target return as risk.
As a result, the two measures can lead to different conclusions even when evaluating the same investment.
This answer is general financial information as of 2026.10.14, not investment advice. Rules and tax rates change, so please also check the latest guidance from the source institution.