HENNESSY SMALL Sortino Ratio
| HSFNX Fund | | | USD 29.24 -0.41 -1.38% |
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 HENNESSY SMALL's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
HENNESSY SMALL registers a Sortino Ratio of
-0.0007, reflecting its current reading on this measure. This reflects HENNESSY SMALL's positioning relative to its own recent range within Hennessy Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | -0.0007 | |
| ER[a] | = | Expected return on investing in HENNESSY SMALL |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
HENNESSY SMALL's Sortino Ratio of -7.0E-4 falls below the 0.07 peer average. Values range from 0.025 (Mairs Power Small) to 0.1702 (Dunham Monthly Distribution), with wide dispersion across the group. HENNESSY SMALL'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 Hennessy Small 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.
Compare HENNESSY SMALL to PeersMethodology, Assumptions & Data Sources
HENNESSY SMALL has a current Sortino Ratio reading of -0.0007. The Sortino Ratio for HENNESSY SMALL 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. HENNESSY SMALL operates in the financial sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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