Sortino Ratio
Risk MetricSortino Ratio is like the Sharpe Ratio but only penalizes downside volatility, making it better for assets like crypto where large upside moves are common and desirable.
The Sortino Ratio uses the same numerator as Sharpe (annualized return, or annualized return minus risk-free rate) but replaces the denominator with "downside deviation" — the standard deviation of only the negative-return days, not all return days. Upside volatility (big green candles) does not penalize the Sortino, whereas it does reduce the Sharpe.
For crypto, the Sortino is often more meaningful than the Sharpe. If QNT has 10 days of extreme upside in a year, those days inflate the total volatility and lower the Sharpe — but the Sortino ignores them, focusing only on whether the downside moves were extreme. A coin with a much higher Sortino than Sharpe is one where most of the volatility comes from upside price spikes rather than downside crashes.
On the When Moon 589 Risk Dashboard, Sortino uses MAR (Minimum Acceptable Return) of 0% and includes all observations in the denominator, not just negative-return days, using the population formula. This is the standard institutional approach for crypto.
Crypto Relevance
When comparing ISO 20022 coins, a coin with Sortino >> Sharpe (like QNT historically) signals that its volatility is predominantly upside-driven — potentially a better risk profile for long-term holders than the Sharpe alone suggests.
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Join ISO 20022 investorsRelated Terms
Sharpe Ratio
Sharpe Ratio is a measure of risk-adjusted return calculated as (annualized return − risk-free rate) ÷ annualized volatility.
Annualized Volatility (Sigma)
Annualized Volatility (sigma) measures how much a price fluctuates over a year, calculated as the standard deviation of daily log returns scaled by √365.
Max Drawdown
Max Drawdown is the largest peak-to-trough price decline in a given period — the worst-case loss for someone who bought at the exact high and held through the lowest point.
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Last reviewed: 2026-05-17