Sharpe asks how much your returns wobble. Sortino asks how much they hurt. For anything that makes a little often and loses a lot rarely, that gap is the entire story.
Two funds post the same twelve-month record on paper: 1% average monthly return above cash, 3% monthly standard deviation, an annualized Sharpe ratio of about 1.15 each. One of them made money every other month. The other made 1.9% eleven times and lost 8.9% once. Sharpe cannot tell them apart. Sortino can.
— Educational, not financial advice.