Global X Sortino Ratio
| AIQ ETF | | | USD 62.31 2.32 3.87% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is Global X's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Global X registers a Sortino Ratio of 0.2243, reflecting its current reading on this measure. This reflects Global X's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.2243 | |
| ER[a] | = | Expected return on investing in Global X |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Global X falls above the 0.11 peer average for Sortino Ratio. iShares AI Innovation leads at 0.2216 while Materials Select Sector registers the lowest at -0.0025. Global X's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Global X and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Global X's Sortino Ratio reads
0.22 while Maximum Drawdown reads
6.88 , a
30.66 ratio between the two. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Global X.
Methodology, Assumptions & Data Sources
Global X has a current Sortino Ratio reading of 0.2243. This Sortino Ratio reading for Global X results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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