Goldman Sachs Sortino Ratio
| GCEEX Fund | | | USD 13.97 -0.04 -0.29% |
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 Goldman Sachs's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.1261 places Goldman Sachs at its current reading on this measure. This reflects Goldman Sachs's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1261 | |
| ER[a] | = | Expected return on investing in Goldman Sachs |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Goldman Sachs falls above the 0.01 peer average for Sortino Ratio. Oraix leads at 0.1245 while Fadzx registers the lowest at -0.0881. Goldman Sachs'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 Goldman Sachs 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.
Goldman Sachs's Maximum Drawdown of
5.20 runs about
41.25 times its Sortino Ratio of
0.13 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Goldman Sachs.
Methodology, Assumptions & Data Sources
Goldman Sachs has a current Sortino Ratio reading of 0.1261. Goldman Sachs' Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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