The Sortino Ratio is a modification of the Sharpe Ratio that addresses a key flaw: Sharpe penalizes volatility equally whether it comes from large gains or large losses. For most investors, large gains are not a risk — only large losses are.
Sortino replaces the standard deviation denominator with 'downside deviation', which only measures the volatility of returns that fall below a target (usually zero or the risk-free rate). This makes it a more investor-aligned risk measure, especially for assets with positive skew or momentum strategies.
A Sortino above 2.0 is generally considered strong. High-quality growth assets like the S&P 500 tend to have Sortino Ratios above 1.5 in bull markets, and these ratios compress significantly during bear markets.
On StressTest.pro, both Sharpe and Sortino are always displayed together so you can identify whether an asset's apparent risk is symmetric (similar Sharpe and Sortino) or driven primarily by upside volatility (Sortino considerably higher than Sharpe).