Xtrackers Harvest Sortino Ratio
| ASHR ETF | | | USD 35.73 0.18 0.51% |
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 Xtrackers Harvest's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Xtrackers Harvest's Sortino Ratio of 0.1005 reflects its current reading on this measure. This reflects Xtrackers Harvest's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1005 | |
| ER[a] | = | Expected return on investing in Xtrackers Harvest |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.08 for Sortino Ratio, with Xtrackers Harvest at 0.1005 falling above that level. Readings span 0.0351 (SPDR SAMPP 400) to 0.1155 (SPDR SAMPP 400). Xtrackers Harvest'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 Xtrackers Harvest 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.
Xtrackers Harvest's Sortino Ratio reads
0.10 while Maximum Drawdown reads
5.16 , a
51.31 ratio between the two. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Xtrackers Harvest.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Xtrackers Harvest is 0.1005. Sortino Ratio for Xtrackers Harvest is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. 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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