ETF2, within the same sector, have a high Sortino ratio together.
ETF3, a well-performing ETF that has diverse holdings (rather than holding stocks within the same industry sector as
ETF1), reduces the Sortino ratio considerably. The same applies to the Sharpe ratio too.
Which one would reduce diversifiable risk with ETF1?
ETF2 within the same sector but a higher Sortino ratio or
ETF3 with diversified holdings and a lower Sortino ratio?