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What is Sortino Ratio?
Sortino Ratio A variation of the Sharpe ratio that only penalizes downside volatility, not upside volatility. Calculated as excess return divided by downside deviation. The Sortino ratio is often more appropriate for options strategies because large upside moves should not be penalized as risk. Premium-selling strategies may have better Sortino ratios than Sharpe ratios.
Complete definition
A variation of the Sharpe ratio that only penalizes downside volatility, not upside volatility. Calculated as excess return divided by downside deviation. The Sortino ratio is often more appropriate for options strategies because large upside moves should not be penalized as risk. Premium-selling strategies may have better Sortino ratios than Sharpe ratios.
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ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
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