Dunham Monthly Sortino Ratio
| DNMDX Fund | | | USD 28.96 -0.02 -0.07% |
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 Dunham Monthly's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.156, Dunham Monthly shows its current reading on this measure. This reflects Dunham Monthly's positioning relative to its own recent range within Dunham Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.156 | |
| ER[a] | = | Expected return on investing in Dunham Monthly |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Dunham Monthly falls above the 0.07 peer average for Sortino Ratio. Dreyfus Opportunistic Small leads at 0.131 while T Rowe Price registers the lowest at 0.0399. Dunham Monthly'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 Dunham Monthly 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.
Dunham Monthly's Maximum Drawdown of
0.38 runs about
2.47 times its Sortino Ratio of
0.16 . This indicates Maximum Drawdown is significantly higher than Sortino Ratio for Dunham Monthly.
Methodology, Assumptions & Data Sources
Dunham Monthly's Sortino Ratio currently stands at 0.156. Sortino Ratio for Dunham Monthly is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Dunham Monthly operates in the event driven sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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