EP EMERGING Sortino Ratio
| EPEIX Fund | | | USD 13.00 0.05 0.39% |
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 EP EMERGING's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.0336, EP EMERGING shows its current reading on this measure. This reflects EP EMERGING's positioning relative to its own recent range within Euro Pacific Asset Management Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0336 | |
| ER[a] | = | Expected return on investing in EP EMERGING |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
EP EMERGING falls below the 0.06 peer average for Sortino Ratio. Locorr Strategic Allocation leads at 0.082 while Old Westbury Large registers the lowest at 0.0479. EP EMERGING's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Ep Emerging 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.
EP EMERGING's Maximum Drawdown of
5.32 runs about
158.45 times its Sortino Ratio of
0.03 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for EP EMERGING.
Methodology, Assumptions & Data Sources
EP EMERGING's Sortino Ratio currently stands at 0.0336. This Sortino Ratio reading for EP EMERGING results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. EP EMERGING operates in the diversified emerging mkts sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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