Franklin Income Sortino Ratio
| INCM ETF | | | USD 29.20 -0.16 -0.54% |
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
At 0.0365, Franklin Income exhibits its current reading on this measure in Sortino Ratio. This reflects Franklin Income's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0365 | |
| 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
Relative to peers, Franklin Income's Sortino Ratio is below the group average of 0.06. Peer readings range from 0.0267 (WisdomTree Dynamic Currency) to 0.1228 (Vanguard SAMPP Small Cap), reflecting wide dispersion across the sector. Franklin Income'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 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.
Franklin Income shows nearly
39.30 of Maximum Drawdown per unit of Sortino Ratio (
0.04 versus
1.43 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Franklin Income.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Franklin Income is 0.0365. The Sortino Ratio for Franklin Income is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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