Evaluator Moderate Sortino Ratio
| EVMLX Fund | | | USD 12.22 0.17 1.41% |
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 Evaluator Moderate's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Evaluator Moderate carries a Sortino Ratio of 0.0999, consistent with its current reading on this measure. This reflects Evaluator Moderate's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0999 | |
| ER[a] | = | Expected return on investing in Evaluator Moderate |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Evaluator Moderate's Sortino Ratio of 0.0999 falls above the 0.0 peer average. Values range from -0.076 (Versatile Bond Portfolio) to 0.1302 (Rationalpier 88 Convertible), with tight clustering across the group. Evaluator Moderate'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 Evaluator Moderate 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.
Evaluator Moderate's Maximum Drawdown of
3.70 runs about
37.06 times its Sortino Ratio of
0.10 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Evaluator Moderate.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Evaluator Moderate is 0.0999. The Sortino Ratio for Evaluator Moderate is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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