Why it exists
The Sharpe ratio treats upside volatility as risk, which is mathematically convenient but economically wrong. A month where you earn 8% instead of the usual 2% is not risky from an investor perspective. Sortino fixes this by computing standard deviation on negative returns only.
Interpretation
Sortino is always higher than Sharpe for strategies with any positive skew. A Sortino of 2.5 alongside a Sharpe of 1.8 suggests the strategy has some large winning months — a desirable asymmetry.
Rule of thumb: if Sortino is much higher than Sharpe, the strategy has positive skew (good). If they are nearly equal, the return distribution is roughly symmetric.