okama.Portfolio.get_sortino_ratio

Portfolio.get_sortino_ratio(t_return=0)

Calculate Sortino ratio for the portfolio with specified target return.

Sortion ratio measures the risk-adjusted return of portfolio. 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:

float

Examples

>>> pf = ok.Portfolio(['VOO.US', 'BND.US'], last_date='2021-12')
>>> pf.get_sortino_ratio(t_return=0.02)
1.4377728903230174