Joint Stock Sortino Ratio
| KSPI Stock | | | 85.90 -0.79 -0.91% |
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 Joint Stock's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.1215, Joint Stock shows its current reading on this measure. This reflects Joint Stock's positioning relative to its own recent range within Consumer Finance.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1215 | |
| ER[a] | = | Expected return on investing in Joint Stock |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Joint Stock's Sortino Ratio of 0.1215 falls above the 0.06 peer average. Values range from 0.0094 (Gen Digital) to 0.1732 (Akamai Technologies), with wide dispersion across the group. Joint Stock'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 Joint Stock 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.
At
0.12 for Sortino Ratio and
14.94 for Maximum Drawdown, Joint Stock's cross-indicator ratio sits almost
122.97 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Joint Stock.
Methodology, Assumptions & Data Sources
Joint Stock's Sortino Ratio currently stands at 0.1215. This Sortino Ratio reading for Joint Stock results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Joint Stock operates in the financials sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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