That is actually a pretty good nature for Ferrothorn.
Sassy: + Sp. Defence, - Speed
Ferrothorn has a base speed of 20, so there is no point in investing anything in that stat. It has a special defence of 116, so it's not a bad idea to give it a bit more bulk in that stat.
A commonly desired speed for Ferrothorn is Relaxed (+Defence, - Speed), so Sassy is a pretty good nature for it.