WisdomTree Japan Sortino Ratio
| DFJ ETF | | | USD 106.28 0.52 0.49% |
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 WisdomTree Japan's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
WisdomTree Japan's Sortino Ratio of
-0.01 reflects its current reading on this measure. This reflects WisdomTree Japan's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | -0.01 | |
| ER[a] | = | Expected return on investing in WisdomTree Japan |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.05 for Sortino Ratio, with WisdomTree Japan at -0.0122 falling below that level. Readings span 0.0019 (iShares MSCI USA) to 0.1097 (NuShares ETF Trust). WisdomTree Japan'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 WisdomTree Japan 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.
Compare WisdomTree Japan to PeersMethodology, Assumptions & Data Sources
WisdomTree Japan has a current Sortino Ratio reading of -0.01. This Sortino Ratio reading for WisdomTree Japan results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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