Direxion Daily Sortino Ratio
| EDC ETF | | | USD 92.74 -0.10 -0.11% |
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 Direxion Daily's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Direxion Daily carries a Sortino Ratio of 0.0906, consistent with its current reading on this measure. This reflects Direxion Daily's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0906 | |
| ER[a] | = | Expected return on investing in Direxion Daily |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Direxion Daily falls above the 0.08 peer average for Sortino Ratio. AIM ETF Products leads at 0.1417 while Innovator MSCI Emerging registers the lowest at 0.0407. Direxion Daily'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 Direxion Daily 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.
With Sortino Ratio at
0.09 and Maximum Drawdown at
21.30 , Direxion Daily shows a
235.14 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Direxion Daily.
Methodology, Assumptions & Data Sources
Direxion Daily has a current Sortino Ratio reading of 0.0906. This Sortino Ratio reading for Direxion Daily results from applying the indicator's calculation rules to price and volume data over the selected window. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. 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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