Citizens Community Sortino Ratio
| CZWI Stock | | | USD 21.10 0.06 0.29% |
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 Citizens Community's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Citizens Community has a Sortino Ratio of 0.1151, indicating its current reading on this measure. This reflects Citizens Community's positioning relative to its own recent range within Stock.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1151 | |
| ER[a] | = | Expected return on investing in Citizens Community |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.07 for Sortino Ratio, with Citizens Community at 0.1151 falling above that level. Readings span -0.0074 (Hanover Bancorp) to 0.1526 (First Internet Bancorp). Citizens Community'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 Citizens Community 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
0.12 for Sortino Ratio and
6.46 for Maximum Drawdown, Citizens Community's cross-indicator ratio sits almost
56.10 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Citizens Community.
Methodology, Assumptions & Data Sources
Citizens Community's Sortino Ratio currently stands at 0.1151. Sortino Ratio for Citizens Community 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 stock metric is provided for analytical reference.
Other Technical Indicators