sortino_ratio
Get rolling Sortino Ratio.
The Sortino Ratio enhances the evaluation of investment returns by distinguishing harmful volatility from total volatility. Unlike other metrics that treat all volatility as risk, this command specifically assesses the volatility of negative returns relative to a target or desired return. It's particularly useful for investors who are more concerned with downside risk than with overall volatility. By calculating the Sortino Ratio, investors can better understand the risk-adjusted return of their investments, focusing on the likelihood and impact of negative returns. This approach offers a more nuanced tool for portfolio optimization, especially in strategies aiming to minimize the downside.
For method & terminology see: http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
Examples
from openbb import obb
# Get Rolling Sortino Ratio.
stock_data = obb.equity.price.historical(symbol="TSLA", start_date="2023-01-01", provider="fmp").to_df()
returns = stock_data["close"].pct_change().dropna()
obb.quantitative.performance.sortino_ratio(data=stock_data, target="close")
obb.quantitative.performance.sortino_ratio(data=stock_data, target="close", target_return=0.01, window=126, adjusted=True)
obb.quantitative.performance.sortino_ratio(target='close', window=2, data=[{'date': '2023-01-02', 'close': 0.05}, {'date': '2023-01-03', 'close': 0.08}, {'date': '2023-01-04', 'close': 0.07}, {'date': '2023-01-05', 'close': 0.06}, {'date': '2023-01-06', 'close': 0.06}])
Parameters
- standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| http | //www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf | Parameters | False | |
| data | List[Data] | Time series data. | False | |
| target | str | Target column name. | False | |
| target_return | float, optional | Target return, by default 0.0 | False | |
| window | PositiveInt, optional | Window size, by default 252 | False | |
| adjusted | bool, optional | Adjust sortino ratio to compare it to sharpe ratio, by default False | False | |
| index | str | Index column for input data | False |
Returns
OBBject
results : List[Data]
Sortino ratio.