Sortino Ratio

Problem

Compute the Sortino ratio: (mean(returns) - target) / downside_deviation, where the downside deviation is the square root of the mean squared shortfall min(0, r - target) over all observations.

Return 0.0 when there are no downside observations or the deviation is zero.

Hint

Only shortfalls below the target enter the denominator.

Test cases

case 1

in: [[0.1,-0.05,0.2,-0.02],0]

expected: 2.135496389036096

case 2

in: [[0.05,0.06],0]

expected: 0

case 3

in: [[0.1,0.1,0.1],0.05]

expected: 0

case 4

in: [[],0]

expected: 0

Starter codePython

def sortino_ratio(returns, target):
    # Your code here
    pass

4 test cases · run your code against them in the editor