Exchange Listed Sortino Ratio
| BCUS ETF | | | 35.16 -0.08 -0.23% |
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 Exchange Listed's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.1027, Exchange Listed shows its current reading on this measure. This reflects Exchange Listed's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1027 | |
| ER[a] | = | Expected return on investing in Exchange Listed |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Exchange Listed's Sortino Ratio of 0.1027 falls above the 0.09 peer average. Values range from 0.038 (Hennessy Stance ESG) to 0.127 (Inspire Faithward Mid), with moderate dispersion across the group. Exchange Listed'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 Exchange Listed 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.
Comparing Sortino Ratio (
0.10 ) to Maximum Drawdown (
6.18 ) for Exchange Listed yields a
60.22 multiple. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Exchange Listed.
Methodology, Assumptions & Data Sources
Exchange Listed's Sortino Ratio currently stands at 0.1027. This Sortino Ratio reading for Exchange Listed results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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