Sortino Ratio
Like Sharpe, but only counts downside volatility against you, not upward moves.
Category: Risk Measures
What is Sortino Ratio?
Sortino divides excess return by downside deviation. It is more appropriate than Sharpe for strategies with skewed return profiles or option-like payoffs.
Formula
Sortino = \frac{R_p - R_f}{\sigma_d}