IShares 5 Sortino Ratio
| IGIB ETF | | | USD 53.31 0.17 0.32% |
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 IShares 5's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.0339 for IShares 5 signals its current reading on this measure. This reflects IShares 5's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0339 | |
| ER[a] | = | Expected return on investing in IShares 5 |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, IShares 5's Sortino Ratio of 0.0339 is below the 0.09 group average. The range runs from 0.0352 (iShares Broad USD) to 0.2173 (Fidelity MSCI Information). IShares 5'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 IShares 5 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.
IShares 5's Maximum Drawdown of
1.46 runs about
42.96 times its Sortino Ratio of
0.03 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for IShares 5.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for IShares 5 is 0.0339. The Sortino Ratio for IShares 5 applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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