BNY Mellon Sortino Ratio
| BKDV ETF | | | 31.89 -0.42 -1.30% |
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 BNY Mellon's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.0931, BNY Mellon exhibits its current reading on this measure in Sortino Ratio. This reflects BNY Mellon's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0931 | |
| ER[a] | = | Expected return on investing in BNY Mellon |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, BNY Mellon's Sortino Ratio is above the group average of 0.07. Peer readings range from -0.0169 (ETC 6 Meridian) to 0.136 (T Rowe Price), reflecting wide dispersion across the sector. BNY Mellon'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 BNY Mellon 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.
BNY Mellon produces
42.71 in Maximum Drawdown for each unit of Sortino Ratio, with respective readings of
3.98 and
0.09 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for BNY Mellon.
Methodology, Assumptions & Data Sources
BNY Mellon has a current Sortino Ratio reading of 0.0931. The Sortino Ratio for BNY Mellon applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
Other Technical Indicators