INCOME FUND Sortino Ratio
| AMEFX Fund | | | USD 27.41 0.09 0.33% |
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 INCOME FUND's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.02, INCOME FUND shows its current reading on this measure. This reflects INCOME FUND's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.02 | |
| ER[a] | = | Expected return on investing in INCOME FUND |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
INCOME FUND falls below the 0.15 peer average for Sortino Ratio. Janus Global Technology leads at 0.1749 while Science Technology Fund registers the lowest at 0.0967. INCOME FUND's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Income Fund 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.
INCOME FUND's Maximum Drawdown of
2.81 runs about
140.65 times its Sortino Ratio of
0.02 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for INCOME FUND.
Methodology, Assumptions & Data Sources
INCOME FUND's Sortino Ratio currently stands at 0.02. INCOME FUND's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. INCOME FUND operates in the asset allocation funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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