Help!!!

[NotAgain]

For an investment with negatively skewed returns, the most appropriate of the following risk measures is:
A)
Sortino ratio.
B)
value at risk.
C)
shortfall risk
For me this one is the VaR, not the Sortino, Qbank tells me I am wrong though. Can someone explain this one?

 

[S2000magician]

I don’t see that the Sortino ratio is any more appropriate than value at risk.
What’s their explanation?

 

[CFAstudier]

well sortino measures downside deviation.. which may be most appropriate for negatively skewed returns rather than a size of a possible decline at a certain significance level