SPDR SSgA Sortino Ratio
| GAL ETF | | | USD 53.28 0.26 0.49% |
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 SPDR SSgA's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
SPDR SSgA's Sortino Ratio of 0.1031 reflects its current reading on this measure. This reflects SPDR SSgA's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1031 | |
| ER[a] | = | Expected return on investing in SPDR SSgA |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.05 for Sortino Ratio, with SPDR SSgA at 0.1031 falling above that level. Readings span -0.0114 (BlackRock Total Return) to 0.1185 (Fidelity Covington Trust). SPDR SSgA'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 SPDR SSgA 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 SPDR SSgA sits near
30.31 , with Sortino Ratio at
0.10 and Maximum Drawdown at
3.12 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for SPDR SSgA.
Methodology, Assumptions & Data Sources
SPDR SSgA has a current Sortino Ratio reading of 0.1031. The Sortino Ratio for SPDR SSgA applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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