sorino_ratio

qf_lib.common.utils.ratios.sorino_ratio.sorino_ratio(qf_series: qf_lib.containers.series.qf_series.QFSeries, frequency: qf_lib.common.enums.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

Return type

float