The Sortino ratio is basically the mean return divided by the downside volatility. It’s very similar to the Sharpe ratio, except that the Sharpe ratio uses total volatility rather than downside volatility. Both of them have the same fundamental problems too:
a) When the standard deviation is significantly less than the mean, the formula blows up. So, for example, the Sharpe and Sortino ratios for the ETF MINT are absurdly high.
b) They rely on arithmetic rather than geometric measures of return. So funds that have lost a lot of money can still have positive Sharpe and Sortino ratios if their volatility is high, since the difference between arithmetic and geometric measures of return increases with volatility.
c) The ratios ignore the order of returns. A fund that gains 10% in a month, then loses 10% the next month, and so on for a year would have exactly the same Sharpe and Sortino ratios as a fund that gains 10% for six months straight and then loses 10% for six months straight. But the latter fund would have a drawdown over five times larger.
Beta, on the other hand, doesn’t measure volatility in the same way as the Sharpe and Sortino ratios. Instead it focuses on the difference between the fund’s return and the return of the benchmark. A beta close to 0 is going to have no return at all, a beta close to 1 will match the return of the benchmark, a beta higher than 1 will be more volatile than the benchmark but be in the generally the same direction, and a negative beta can be wildly volatile but uncorrelated with the benchmark. Measurement of beta suffers from some of the same flaws as the Sharpe and Sortino ratios, but its purpose is fundamentally different. It should not be mistaken for a straightforward volatility measure. For that, use the standard deviation. Or better yet, create an Excel spreadsheet that will allow you to use mean deviation, geometric measures, and prices rather than returns.
I think it’s very important to take volatility of returns into account, but finding the best way to do so is at best a work in progress. There’s a very simplistic shortcut that I use sometimes: take the CAGR and multiply it by 1 minus the maximum drawdown.
But in general, ALL measurements of past performance are misleading for ETFs. Look at GLD from 2006 to 2011. What a chart! Very little drawdown, great return, not much volatility. Now look at it since 2011. Horrors.
In conclusion, I’d advise you not to mix Sortino and beta–the results would probably be a real jumble.