IShares Expanded Sortino Ratio
| IGM ETF | | | USD 154.38 3.98 2.65% |
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 Expanded's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.2259, IShares Expanded shows its current reading on this measure. This reflects IShares Expanded's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.2259 | |
| ER[a] | = | Expected return on investing in IShares Expanded |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
IShares Expanded's Sortino Ratio of 0.2259 falls above the 0.09 peer average. Values range from 0.0068 (iShares SAMPP Mid Cap) to 0.1927 (iShares MSCI South), with wide dispersion across the group. IShares Expanded'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 IShares Expanded 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 Expanded shows nearly
29.26 of Maximum Drawdown per unit of Sortino Ratio (
0.23 versus
6.61 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for IShares Expanded.
Methodology, Assumptions & Data Sources
IShares Expanded's Sortino Ratio currently stands at 0.2259. IShares Expanded's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. 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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