ratio.sortino {rportfolio} | R Documentation |
Calculates the Sortino Ratio
ratio.sortino(R1, Rf = 0)
R1 |
Returns of the portfolio |
Rf |
Risk Free rate of return, Default: 0 |
The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns, called downside deviation, instead of the total standard deviation of portfolio returns.
Gives the Sortino ratio of the portfolio
ratio.sortino(funds$ret)