ENH: Annualize sortino ratio.

Use annualized values for sortino, so that it is calculated using the
same units as sharpe, etc.

tests/risk/answer_key.py

@@ -230,7 +230,14 @@ class AnswerKey(object):
             'Sim Cumulative', 'P', 4, 254),
 
         'ALGORITHM_CUMULATIVE_SHARPE': DataIndex(
-            'Sim Cumulative', 'R', 4, 254)
+            'Sim Cumulative', 'R', 4, 254),
+
+        'CUMULATIVE_DOWNSIDE_RISK': DataIndex(
+            'Sim Cumulative', 'U', 4, 254),
+
+        'CUMULATIVE_SORTINO': DataIndex(
+            'Sim Cumulative', 'V', 4, 254),
+
     }
 
     def __init__(self):
@@ -289,4 +296,8 @@ RISK_CUMULATIVE = pd.DataFrame({
     'volatility': pd.Series(dict(zip(
         DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_VOLATILITY))),
     'sharpe': pd.Series(dict(zip(
-        DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_SHARPE)))})
+        DATES, ANSWER_KEY.ALGORITHM_CUMULATIVE_SHARPE))),
+    'downside_risk': pd.Series(dict(zip(
+        DATES, ANSWER_KEY.CUMULATIVE_DOWNSIDE_RISK))),
+    'sortino': pd.Series(dict(zip(
+        DATES, ANSWER_KEY.CUMULATIVE_SORTINO)))})

tests/risk/risk-answer-key-checksums

@@ -8,3 +8,6 @@ cc507b6fca18aabadac69657181edd4e
 5b48e6a70181d73ecb7f07df5a3092e2
 3343940379161143630503413627a53a
 820235c4157a3c55474836438019ef2e
+75c1b1441efbc2431215835a5079ccc6
+37e3ea4a1788f1aa6f3ee0986bc625ae
+651e611e723e2a58b1ded91d0cd39b66

tests/risk/test_risk_cumulative.py

@@ -70,3 +70,19 @@ class TestRisk(unittest.TestCase):
                 self.cumulative_metrics_06.metrics.sharpe[dt],
                 decimal=2,
                 err_msg="Mismatch at %s" % (dt,))
+
+    def test_downside_risk_06(self):
+        for dt, value in answer_key.RISK_CUMULATIVE.downside_risk.iterkv():
+            np.testing.assert_almost_equal(
+                self.cumulative_metrics_06.metrics.downside_risk[dt],
+                value,
+                decimal=2,
+                err_msg="Mismatch at %s" % (dt,))
+
+    def test_sortino_06(self):
+        for dt, value in answer_key.RISK_CUMULATIVE.sortino.iterkv():
+            np.testing.assert_almost_equal(
+                self.cumulative_metrics_06.metrics.sortino[dt],
+                value,
+                decimal=2,
+                err_msg="Mismatch at %s" % (dt,))