VictoryShares 500 Sortino Ratio
| CFO ETF | | | USD 77.93 0.45 0.58% |
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 VictoryShares 500's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.0281 places VictoryShares 500 at its current reading on this measure. This reflects VictoryShares 500's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0281 | |
| ER[a] | = | Expected return on investing in VictoryShares 500 |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
VictoryShares 500's Sortino Ratio of 0.0281 falls below the 0.07 peer average. Values range from 0.008 (Fidelity MSCI Materials) to 0.2881 (First Trust Exchange Traded), with wide dispersion across the group. VictoryShares 500'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 VictoryShares 500 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.
VictoryShares 500 shows nearly
115.67 of Maximum Drawdown per unit of Sortino Ratio (
0.03 versus
3.25 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for VictoryShares 500.
Methodology, Assumptions & Data Sources
VictoryShares 500 has a current Sortino Ratio reading of 0.0281. The Sortino Ratio for VictoryShares 500 applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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