What is the Sortino Ratio?
Sharpe Ratio penalizes any volatility, upside or downside, equally. Sortino only penalizes downside volatility - the swings that actually cost an investor money - so a fund that’s volatile mostly because it occasionally jumps up scores better on Sortino than on Sharpe.
Sortino = (Rp − Rf) / σd
Higher is better, and Sortino is always ≥ Sharpe for the same fund since it only counts the “bad” volatility.
Real comparison across 6 funds
CHART
3Y Sortino Ratio - 6 real funds
Same funds as the Sharpe Ratio comparison - notice the ranking can shift once only downside volatility counts.
Funds compared: Parag Parikh Flexi Cap · DSP Value · ICICI Prudential Value · SBI Focused · Parag Parikh ELSS Tax Saver · SBI Multicap
WHAT THIS MEANS FOR YOU If a fund’s Sortino Ratio is much higher than its Sharpe Ratio, its volatility skews upward - a genuinely different risk profile than a fund where the two ratios are close together.
METHODOLOGY Computed over a trailing 3-year window as of 2026-08-31. Downside deviation uses only return periods below zero. Data: Punji risk analytics. Not investment advice.