sortino_ratio# qf_lib.common.utils.ratios.sortino_ratio.sortino_ratio(qf_series: QFSeries, frequency: Frequency, risk_free: float = 0) → float[source]# Calculates the Sortino ratio for a given timeseries of returns. sortino_ratio = (CAGR - risk free) / annualised downside volatility Parameters: qf_series (QFSeries) – financial series frequency (Frequency) – frequency of the qf_series risk_free (float) – risk free rate Return type: float