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
Parameters
- standard
data
: list[openbb_core.provider.abstract.data.Data]
Time series data.
• Optional: False
target
: str
Target column name.
• Optional: False
target_return
: float
Target return, by default 0.0
• Optional: True
window
: int
Window size, by default 252
• Default: 252
• Optional: True
adjusted
: bool
Adjust sortino ratio to compare it to sharpe ratio, by default False
• Optional: True
index
: str
Index column for input data
• Default: date
• Optional: True
Returns
results
: list[Data]
Serializable results.
provider
: None
Provider name.
warnings
: Optional[list[Warning_]]
list of warnings.
chart
: Optional[Chart]
Chart object.
extra
: dict[str, Any]
Extra info.