The Sortino ratio is a risk-adjusted performance measure that focuses on downside risk, differentiating harmful volatility from total volatility.
The Sharpe ratio by contracts only looks at total standard deviation.
This concept was brought up by Brian Kichton (Strongman, Internal Market Consultant) during EliteFTS Table Talk #359.
For the competitive athlete, this is essentially saying what gives me the best performance on the platform while minimizing the negative downside risk of getting hurt in training. What is the benefit of an extra training session, extra sets, extra reps relative to my performance in competition.
One input that was not brought up during the episode was Minimum Acceptable Return (MAR). For the professional athlete, the MAR may be a podium spot. For a weekend warrior like myself, the MAR may be finishing the event or not getting hurt during the event.
When I look at my competitive calendar for the year, I started the year with Hyrox and focused on my weaknesses. Getting used to competing for 2 hours was more important than shaving seconds off of my ski erg or row erg splits. This forced a tough decision on deciding to abandon the Wellington Swim-Run Challenge. I was not ready for the 3 laps of 0.3 mile swim and 1.7K runs. The downside deviation of failure during the third swim could be catastrophic and the extra training sessions to be successful could not be squeezed into the next three weeks.
When I look at individual training sessions, this is very different. Heading out for a mile run or even walk in the evening packs a great benefit for minimal risk.
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