Touchstone ETF Sortino Ratio
| LCF ETF | | | USD 43.12 0.19 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 Touchstone ETF's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.0344 for Touchstone ETF signals its current reading on this measure. This reflects Touchstone ETF's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0344 | |
| ER[a] | = | Expected return on investing in Touchstone ETF |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, Touchstone ETF's Sortino Ratio of 0.0344 is below the 0.08 group average. The range runs from 0.0386 (Regents Park Hedged) to 0.1544 (Redwood Investment Management). Touchstone ETF'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 Touchstone ETF 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.
Touchstone ETF records a Sortino Ratio of
0.03 and a Maximum Drawdown of
3.66 , yielding roughly
106.41 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Touchstone ETF.
Methodology, Assumptions & Data Sources
Touchstone ETF has a current Sortino Ratio reading of 0.0344. Sortino Ratio for Touchstone ETF is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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