Sharpe Ratio
The Sharpe ratio measures a portfolio's average return above the risk-free rate per unit of total volatility. It was introduced by William Sharpe to compare risk-adjusted performance across strategies.
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Sortino Ratio
The Sortino ratio is a variation of the Sharpe ratio that divides excess return by downside deviation, which counts only returns below a chosen minimum acceptable return (MAR). It penalizes harmful volatility rather than all volatility.