okama.AssetList.get_sortino_ratio

AssetList.get_sortino_ratio(t_return=0)

Calculate Sortino ratio for the assets with specified target return.

Sortion ratio measures the risk-adjusted return of each asset. It is a modification of the Sharpe ratio but penalizes only those returns falling below a specified target rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally.

Parameters:

t_returnfloat, default 0

Traget rate of return.

Returns:

pd.Series

Examples

>>> al = ok.AssetList(['VOO.US', 'BND.US'], last_date='2021-12')
>>> al.get_sortino_ratio(t_return=0.03)
VOO.US    1.321951
BND.US    0.028969
dtype: float64