What is the difference between Sharpe Ratio and Sortino Ratio?
The Sharpe Ratio and Sortino Ratio are both measures of risk-adjusted return, but they differ in how they account for downside risk:

- The Sharpe Ratio uses the standard deviation of returns to measure total risk, including both upside and downside volatility. It rewards strategies that have higher excess returns relative to total risk.
- The Sortino Ratio uses the downside deviation, which only considers returns below a minimum acceptable return (typically 0). It focuses on downside risk and rewards strategies that have higher excess returns relative to downside risk.

So the key difference is that the Sortino Ratio focuses on downside risk while the Sharpe Ratio considers total volatility. The Sortino Ratio can be more appropriate when the goal is to avoid losses, not just volatility.
Are there any other measures of risk-adjusted return?