diff --git a/pyfacts/statistics.py b/pyfacts/statistics.py
index c2a1d02..bd3a336 100644
--- a/pyfacts/statistics.py
+++ b/pyfacts/statistics.py
@@ -574,8 +574,10 @@ def sortino_ratio(
         "closest": closest,
         "date_format": date_format,
     }
-    average_rr_ts = time_series_data.calculate_rolling_returns(**common_params, annual_compounded_returns=False)
-    average_rr = statistics.mean(average_rr_ts.values)
+    average_rr_ts = time_series_data.calculate_rolling_returns(
+        **common_params, annual_compounded_returns=False, if_not_found="nan"
+    )
+    average_rr = statistics.mean(filter(lambda x: str(x) != "nan", average_rr_ts.values))
     annualized_average_rr = (1 + average_rr) ** (365 / interval_days) - 1
 
     excess_returns = annualized_average_rr - risk_free_rate