## Term Glossary

### Sortino Ratio

The Sortino ratio is a modification of the Sharpe ratio, using downside deviation rather than standard deviation as the measure of risk - i.e., only those returns falling below a user-specified target or required rate of return are considered risky. $$\text{Sortino Ratio}=\frac{E(r)-MAR}{\delta_{MAR}}$$

$E(r)$
expected return
$MAR$
minimum acceptable return
where $\delta_{MAR}$ or "downside risk" is computed as: $$\delta_{MAR}=\sqrt{\int_{-\infty}^{MAR}(MAR-r)^{2}f(r)dr}$$
$r$
asset return
$f(r)$
the probability density distribution for the asset returns
$MAR$
minimum acceptable return

Sortino ratio requires the investor to set a minimum acceptable rate of return (MAR), which is a return that he/she would be comfortable with. Any return above the MAR is not included for the purpose of calculating the Sortino Ratio.

###### Function Reference
portfolio_sortinoRatio, position_sortinoRatio