IShares MSCI Sortino Ratio
| EFNL ETF | | | USD 55.31 0.34 0.62% |
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 IShares MSCI's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.1116 for IShares MSCI signals its current reading on this measure. This reflects IShares MSCI's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1116 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, IShares MSCI's Sortino Ratio of 0.1116 is above the 0.07 group average. The range runs from -0.0043 (EA Series Trust) to 0.1871 (iShares MSCI Norway). IShares MSCI'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 IShares MSCI 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.
The Maximum Drawdown-to-Sortino Ratio ratio for IShares MSCI sits near
52.05 , with Sortino Ratio at
0.11 and Maximum Drawdown at
5.81 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for IShares MSCI.
Methodology, Assumptions & Data Sources
IShares MSCI's Sortino Ratio currently stands at 0.1116. This Sortino Ratio reading for IShares MSCI results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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