About this question
Easy · statistical_analysis · Quant Researcher interview question · risk_adjusted_return, downside_risk, portfolio_metrics, quantitative_finance, performance_evaluation
The Sortino ratio refines the Sharpe ratio by penalizing only downside volatility rather than total volatility, making it a more appropriate risk-adjusted performance measure for asymmetric return distributions. In quantitative portfolio research, the Sortino ratio is preferred when evaluating strategies that exhibit positive skew or tail-risk management, as it does not penalize upside variability that investors welcome. Task Implement the sortino_ratio(returns: list, target_return: float = 0.0