what is the sortino ratio 
the sortino ratio is a variation of the sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset s standard deviation of negative portfolio returns downside deviation instead of the total standard deviation of portfolio returns the sortino ratio takes an asset or portfolio s return and subtracts the risk free rate and then divides that amount by the asset s downside deviation the ratio was named after frank a sortino 1formula and calculation of sortino ratio sortino ratio r p r f d where r p actual or expected portfolio return r f risk free rate d standard deviation of the downside begin aligned text sortino ratio frac r p r f sigma d textbf where r p text actual or expected portfolio return r f text risk free rate sigma d text standard deviation of the downside end aligned sortino ratio d rp rf where rp actual or expected portfolio returnrf risk free rate d standard deviation of the downside 