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from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.cagr import cagr
from qf_lib.common.utils.volatility.get_volatility import get_volatility
from qf_lib.containers.series.qf_series import QFSeries
[docs]def sorino_ratio(qf_series: QFSeries, frequency: Frequency, risk_free: float = 0) -> float:
"""
Calculates the Sorino ratio for a given timeseries of returns.
sorino_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
Returns
-------
float
"""
annualised_growth_rate = cagr(qf_series, frequency)
negative_returns = qf_series[qf_series < 0]
annualised_downside_vol = get_volatility(negative_returns, frequency, annualise=True)
ratio = (annualised_growth_rate - risk_free) / annualised_downside_vol
return ratio