Cherry Hill Sortino Ratio
| CHMI Stock | | | USD 2.67 0.02 0.75% |
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 Cherry Hill's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Cherry Hill registers a Sortino Ratio of 0.0302, reflecting its current reading on this measure. This reflects Cherry Hill's positioning relative to its own recent range within Mortgage Real Estate Investment Trusts (REITs).
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0302 | |
| ER[a] | = | Expected return on investing in Cherry Hill |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Cherry Hill falls below the 0.06 peer average for Sortino Ratio. AFC Gamma leads at 0.0902 while Sachem Capital Corp registers the lowest at 0.0303. Cherry Hill'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 Cherry Hill 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.
At
0.03 for Sortino Ratio and
11.18 for Maximum Drawdown, Cherry Hill's cross-indicator ratio sits almost
370.10 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Cherry Hill.
Methodology, Assumptions & Data Sources
Cherry Hill's Sortino Ratio currently stands at 0.0302. Sortino Ratio for Cherry Hill is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Cherry Hill operates in the real estate sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
Other Technical Indicators