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We introduce the concept of forward rank‐dependent performance criteria, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time‐consistent nature of forward performance criteria with the time‐inconsistency stemming from probability distortions. For this, we first propose two distinct definitions, one based on the preservation of performance value and the other on the time‐consistency of policies and, in turn, establish their equivalence. We then fully characterize the viable class of probability distortion processes and provide the following dichotomy: it is either the case that the probability distortions are degenerate in the sense that the investor would never invest in the risky assets, or the marginal probability distortion equals to a normalized power of the quantile function of the pricing kernel. We also characterize the optimal wealth …