Library term·Portfolio & valuation
Sharpe & Sortino Ratios
Sharpe scales excess return by total volatility; Sortino penalises only downside deviation — kinder to positively skewed strategies.
Authored by·Editorially reviewed
Onur Erkan YıldızFounder, Financial Engineer · CMB-licensed
Higher education in Financial Engineering and Money & Capital Markets. SPK (Turkey CMB) licence. 16 years across institutional markets, research, and quant-driven analytics.
Overview
Sharpe = (Rp − Rf) / σp. It punishes upside and downside volatility equally. Sortino replaces σ with downside deviation below a minimum acceptable return — better when returns are asymmetric.Practical takeaway
Never compare raw Sharpe across horizons without annualising consistently. Pair ratios with max drawdown, hit-rate, and capacity.How this connects to Finvestopia
Radar’s backtest tiles surface hit-rate and composite quality — a practical analogue to retail Sharpe monitoring without over-fitting noise.Related entries
Educational content authored by our team — informational only, not investment advice.