Franklin Income Sortino Ratio
| INCE ETF | | | 66.37 -0.29 -0.44% |
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 Franklin Income's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Franklin Income has a Sortino Ratio of 0.1194, indicating its current reading on this measure. This reflects Franklin Income's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1194 | |
| ER[a] | = | Expected return on investing in Franklin Income |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.06 for Sortino Ratio, with Franklin Income at 0.1194 falling above that level. Readings span 0.0013 (Hoya Capital High) to 0.1262 (Two Roads Shared). Franklin Income'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 Franklin Income 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.
With Sortino Ratio at
0.12 and Maximum Drawdown at
2.56 , Franklin Income shows a
21.43 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Franklin Income.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Franklin Income is 0.1194. Franklin Income'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. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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