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