What is the difference between Sortino ratio and Sharpe ratio in the context of cryptocurrencies?

6 answers

• Bahadir OzanOct 14, 2021 · 4 years ago
  The Sortino ratio and Sharpe ratio are both commonly used risk-adjusted performance measures in the cryptocurrency market. However, they differ in their approach to measuring risk and evaluating returns. The Sharpe ratio takes into account both the total return and the volatility of an investment, while the Sortino ratio focuses specifically on downside risk. In other words, the Sortino ratio considers only the negative volatility, or downside deviation, of an investment, whereas the Sharpe ratio considers both positive and negative volatility. This means that the Sortino ratio provides a more accurate measure of risk-adjusted returns for investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of particular concern. Overall, while both ratios are useful in assessing risk-adjusted returns, the Sortino ratio may be more suitable for evaluating the performance of cryptocurrencies due to their unique risk characteristics.
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• N B Kundan SettyAug 08, 2022 · 3 years ago
  When it comes to evaluating the performance of cryptocurrencies, the Sortino ratio and Sharpe ratio play important roles in assessing risk-adjusted returns. The Sortino ratio, unlike the Sharpe ratio, focuses on downside risk and only considers the negative volatility of an investment. This makes it particularly useful for evaluating investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of greater concern. On the other hand, the Sharpe ratio takes into account both positive and negative volatility, providing a more comprehensive measure of risk-adjusted returns. While both ratios have their merits, the choice between them depends on the specific risk preferences and investment objectives of the individual or institution. In the context of cryptocurrencies, where downside risk is often a major consideration, the Sortino ratio may be more suitable for assessing performance.
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• rabaneteJun 09, 2025 · 2 months ago
  In the context of cryptocurrencies, the Sortino ratio and Sharpe ratio are two commonly used metrics for evaluating risk-adjusted returns. The Sortino ratio, which was developed by Frank A. Sortino, focuses on downside risk and measures the excess return per unit of downside deviation. It is particularly useful for assessing investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of greater concern. On the other hand, the Sharpe ratio, developed by Nobel laureate William F. Sharpe, considers both the total return and the volatility of an investment. It provides a measure of risk-adjusted returns by comparing the excess return of an investment to its standard deviation. While both ratios are useful in assessing risk-adjusted returns, the choice between them depends on the specific risk preferences and investment objectives of the investor or institution.
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• miavDec 04, 2023 · 2 years ago
  The Sortino ratio and Sharpe ratio are two widely used metrics for evaluating risk-adjusted returns in the context of cryptocurrencies. The Sortino ratio, unlike the Sharpe ratio, focuses on downside risk and measures the excess return per unit of downside deviation. It is particularly useful for evaluating investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of greater concern. On the other hand, the Sharpe ratio takes into account both positive and negative volatility, providing a more comprehensive measure of risk-adjusted returns. While both ratios have their merits, the choice between them depends on the specific risk preferences and investment objectives of the individual or institution. In the cryptocurrency market, where downside risk is often a major consideration, the Sortino ratio may be more appropriate for evaluating performance.
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• Strickland StormMar 06, 2021 · 4 years ago
  The Sortino ratio and Sharpe ratio are two commonly used metrics for evaluating risk-adjusted returns in the cryptocurrency market. The Sortino ratio, developed by Frank A. Sortino, focuses on downside risk and measures the excess return per unit of downside deviation. It is particularly useful for assessing investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of greater concern. On the other hand, the Sharpe ratio, developed by Nobel laureate William F. Sharpe, considers both the total return and the volatility of an investment. It provides a measure of risk-adjusted returns by comparing the excess return of an investment to its standard deviation. While both ratios have their advantages, the choice between them depends on the specific risk preferences and investment objectives of the investor or institution. In the context of cryptocurrencies, where downside risk is often a major consideration, the Sortino ratio may be more suitable for evaluating performance.
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• Soham SahaNov 02, 2024 · 9 months ago
  The Sortino ratio and Sharpe ratio are two commonly used metrics for evaluating risk-adjusted returns in the cryptocurrency market. The Sortino ratio, developed by Frank A. Sortino, focuses on downside risk and measures the excess return per unit of downside deviation. It is particularly useful for assessing investments with asymmetric risk profiles, such as cryptocurrencies, where the downside risk is of greater concern. On the other hand, the Sharpe ratio, developed by Nobel laureate William F. Sharpe, considers both the total return and the volatility of an investment. It provides a measure of risk-adjusted returns by comparing the excess return of an investment to its standard deviation. While both ratios have their merits, the choice between them depends on the specific risk preferences and investment objectives of the investor or institution. In the context of cryptocurrencies, where downside risk is often a major consideration, the Sortino ratio may be more suitable for evaluating performance.
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