Sortino or Sharpe? Both ranked 254 equity funds almost alike

Two risk-adjusted measures

The Sharpe ratio divides a fund's excess return over a risk-free rate by the volatility of its returns. The Sortino ratio does the same but counts only downside swings in the denominator, on the argument that investors do not mind volatility on the way up. In theory the two can disagree about a fund whose gains arrive in sharp upward bursts.

WealthTicker computes both for every fund with enough history, from daily NAVs. We took the 254 Direct Growth equity funds in nine categories (Flexi Cap, Mid Cap, Small Cap, Large Cap, Large & Mid Cap, Multi Cap, ELSS, Focused and Value) that have both numbers, and ranked each category twice: once by Sharpe, once by Sortino. Data is as computed on 18 October 2026 from NAVs to 16 October. ELSS series funds with a fixed lock-in term are left out. Our Sharpe ratio post covers the Sharpe leaders in full.

How different were the rankings?

Four in five funds (205 of 254) held the same rank on both measures. The 49 that moved shifted by one place in most cases, and the biggest shift was three places in Mid Cap. In Multi Cap the two lists are identical, fund for fund. No fund that was in the top three on Sharpe dropped out of it on Sortino.

The leaders barely change

The Flexi Cap category is the one place the leader changes: HDFC Flexi Cap has a Sortino of 0.95 against ITI's 0.94 while its Sharpe is 0.68 against 0.70, so the two swap first and second place. The gap between them is a hundredth. In every other category the Sharpe leader is also the Sortino leader.

Why they agree here

Funds in one category hold broadly similar portfolios, so their swings probably have a similar shape: the downside part of the volatility moves with the total. Across the 248 funds with a positive Sharpe, the Sortino figure is 1.30 to 1.42 times the Sharpe figure, with a median of 1.36. When the ratio between two measures barely varies, they cannot produce different orders.

That is a feature of this period and these categories. It does not prove that Sortino is redundant. A strategy with very lopsided returns, such as a fund selling options, could score very differently on the two, but none of the nine categories here is built that way.

What to take from it

• Within a category, either ratio will do. If a fund tops the Sharpe list it is almost certainly near the top on Sortino.
• Do not compare across categories or across the two scales. A Large Cap leader at 0.49 is not "worse" than a Small Cap leader at 0.93; the categories carry different risk and return levels. See how category risk differs.
• The numbers describe a window. Rankings on both measures shift as the window rolls, and a high ratio says a fund was paid well for risk in the past, not that it will be.
• For how each number is defined and computed, see where every number comes from.

This is a description of the data and not a recommendation to buy or sell any fund.

Source: WealthTicker fund metrics (Sharpe and Sortino) for Direct Growth plans, NAVs to 16 October 2026; segregated portfolios, ETFs, bonus options and ELSS series funds excluded.