BlackRock Sortino Ratio
| MASKX Fund | | | USD 30.87 0.24 0.78% |
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 BlackRock's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
BlackRock's Sortino Ratio of 0.0784 reflects its current reading on this measure. This reflects BlackRock's positioning relative to its own recent range within BlackRock Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0784 | |
| ER[a] | = | Expected return on investing in BlackRock |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, BlackRock's Sortino Ratio of 0.0784 is above the 0.07 group average. The range runs from 0.0205 (Perkins Small Cap) to 0.1282 (Balanced Fund Class). BlackRock'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 BlackRock 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.
BlackRock's Maximum Drawdown of
5.87 runs about
74.84 times its Sortino Ratio of
0.08 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for BlackRock.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for BlackRock is 0.0784. This Sortino Ratio reading for BlackRock results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. BlackRock operates in the small blend sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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