Global X Sortino Ratio
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
A Sortino Ratio of 0.1243 for Global X signals 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 |
| = | 0.1243 | |
| 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
Among sector peers, Global X's Sortino Ratio of 0.1243 is above the 0.06 group average. The range runs from 0.0088 (Strategy Shares NewfoundReSolve) to 0.2002 (VanEck Oil Refiners). 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 shows nearly
67.97 of Maximum Drawdown per unit of Sortino Ratio (
0.12 versus
8.45 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Global X.
Methodology, Assumptions & Data Sources
Global X's Sortino Ratio currently stands at 0.1243. Sortino Ratio for Global X is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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