Exercise

# Sortino ratio

For this exercise, the portfolio returns data are stored in a DataFrame called `df`

, which you'll use to calculate the **Sortino ratio**. The Sortino ratio is just like the Sharpe ratio, except for that it uses the **standard deviation of the negative returns only**, and thereby focuses more on the **downside of investing**.

Let's see how big the Sortino ratio is compared to the earlier calculated Sharpe ratio. The risk-free rate `rfr`

and the target return `target`

are already defined and are both zero.

Instructions

**100 XP**

- Select the returns using
`.loc`

that are**strictly less than**the target, and store them in a new DataFrame called`downside_returns`

. - Calculate the mean of the expected returns, and the standard deviation of the downside returns.
- Calculate the Sortino ratio using
`rfr`

for the risk-free rate.