US VECTOR Sortino Ratio
| DFVEX Fund | | | USD 33.66 0.40 1.20% |
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 VECTOR's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
US VECTOR registers a Sortino Ratio of 0.0646, reflecting its current reading on this measure. This reflects US VECTOR's positioning relative to its own recent range within Dimensional Fund Advisors Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0646 | |
| ER[a] | = | Expected return on investing in US VECTOR |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
US VECTOR's Sortino Ratio of 0.0646 falls below the 0.08 peer average. Values range from 0.0033 (Vanguard Global Esg) to 0.1376 (Polaris Global Value), with wide dispersion across the group. US VECTOR'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 Us Vector 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 VECTOR's Maximum Drawdown of
3.93 runs about
60.80 times its Sortino Ratio of
0.06 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for US VECTOR.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for US VECTOR is 0.0646. This Sortino Ratio reading for US VECTOR results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. US VECTOR operates in the mid-cap value sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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