Sortino Ratio
Definition
Similar to the Sharpe ratio, but only considers downside volatility. It penalizes strategies for bad volatility (losses) rather than all volatility.
Example
A Sortino ratio of 3.0 means the strategy earns 3 units of return per unit of downside risk.
How Gilito AI Uses It
The Sortino ratio is available in detailed strategy metrics and provides a more nuanced view of risk-adjusted returns than the Sharpe ratio alone.