US MICRO Sortino Ratio
| DFSCX Fund | | | USD 36.38 0.22 0.61% |
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 US MICRO's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
US MICRO carries a Sortino Ratio of 0.1092, consistent with its current reading on this measure. This reflects US MICRO's positioning relative to its own recent range within Dimensional Fund Advisors Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1092 | |
| ER[a] | = | Expected return on investing in US MICRO |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
US MICRO's Sortino Ratio of 0.1092 falls above the 0.1 peer average. Values range from 0.0339 (JPMorgan Growth And) to 0.1898 (BlackRock Science Technology), with wide dispersion across the group. US MICRO'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 Us Micro 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.
US MICRO's Maximum Drawdown of
4.98 runs about
45.59 times its Sortino Ratio of
0.11 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for US MICRO.
Methodology, Assumptions & Data Sources
US MICRO's Sortino Ratio currently stands at 0.1092. The Sortino Ratio for US MICRO is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. US MICRO operates in the small blend sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. 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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