Should you consider Sortino Ratio while selecting MF?

The parameters like returns, alpha, beta, etc. give us an idea about upside move and the risk it took for such a move. However, people completely ignore the downside volatility. Sortino ratio measures the same. The ratio is named after Frank A Sortino. Sortino ratio is an improved variation of Sharpe ratio that differentiates harmful volatility from total overall volatility by using downside deviation. Downside deviation is an asset’s standard deviation of negative returns. The Sortino ratio subtracts the risk-free rate from the asset’s return and then divides it by the asset’s downside deviation.
 
Sortino ratio helps us evaluate an investment’s return for a given level of bad risk. As this ratio considers downside deviation as its risk measure, it overcomes the issue of using total risk or standard deviation, as upside volatility is beneficial to investors. Sharpe ratio, on the other hand, considers standard deviation as its risk measure, which means it takes into consideration the good risk which provides positive returns for investors. Now the question is whether to go for Sortino ratio or Sharpe ratio? It depends completely on your focus. If your focus is much on determining the good risk then Sharpe ratio would be ideal. However, if you want to focus much on the downside or bad risk then Sortino ratio would be ideal.
 
When it comes to investing in mutual funds, it is would be more beneficial to consider the Sortino ratio for the fact that it measures the downside risk. Ideally, more the ratio, the better it is. How to interpret this ratio? As it measures for the given market risk premium what is the level of bad risk taken by the mutual fund, if the Sortino ratio comes less that means the level of bad risk is more and vice versa.