Pacer Funds Sortino Ratio
| GLBL ETF | | | USD 27.50 0.47 1.74% |
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 Pacer Funds's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Pacer Funds registers a Sortino Ratio of 0.1514, reflecting its current reading on this measure. This reflects Pacer Funds's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1514 | |
| ER[a] | = | Expected return on investing in Pacer Funds |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Pacer Funds falls above the 0.05 peer average for Sortino Ratio. First Trust Bloomberg leads at 0.2007 while Horizon Landmark ETF registers the lowest at -0.2355. Pacer Funds'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 Pacer Funds 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 Pacer Funds sits near
29.66 , with Sortino Ratio at
0.15 and Maximum Drawdown at
4.49 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Pacer Funds.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Pacer Funds is 0.1514. The Sortino Ratio for Pacer Funds applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. 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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