Global X Sortino Ratio
| DIV ETF | | | USD 19.32 0.04 0.21% |
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 Global X's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Global X has a Sortino Ratio of 0.1173, indicating its current reading on this measure. This reflects Global X's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1173 | |
| ER[a] | = | Expected return on investing in Global X |
| 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 Global X at 0.1173 falling above that level. Readings span 0.0164 (Opus Small Cap) to 0.1242 (John Hancock Multifactor). Global X'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 Global X 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.
Global X produces
28.07 in Maximum Drawdown for each unit of Sortino Ratio, with respective readings of
3.29 and
0.12 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Global X.
Methodology, Assumptions & Data Sources
Global X's Sortino Ratio currently stands at 0.1173. The Sortino Ratio for Global X applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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