pmorissette / ffn

ffn - a financial function library for Python
pmorissette.github.io/ffn
MIT License
1.9k stars 284 forks source link

Sortino Ratio using Monthly Mean, not Geometric Monthly Mean #169

Open staymadson opened 2 years ago

staymadson commented 2 years ago

Line 2302:

res = np.divide(er.mean(), std)

Unless I'm reading this incorrectly, this is using the mean instead of geometric mean which is incorrect (should be .gmean(), right).