Overlay Shares Sortino Ratio
| OVB ETF | | | USD 20.66 0.09 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 Overlay Shares's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.0305, Overlay Shares shows its current reading on this measure. This reflects Overlay Shares's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0305 | |
| ER[a] | = | Expected return on investing in Overlay Shares |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Overlay Shares's Sortino Ratio of 0.0305 falls below the 0.1 peer average. Values range from 0.0206 (Overlay Shares Municipal) to 0.2766 (Innovator Premium Income), with wide dispersion across the group. Overlay Shares'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 Overlay Shares 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.
Overlay Shares's Maximum Drawdown of
1.96 runs about
64.32 times its Sortino Ratio of
0.03 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Overlay Shares.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Overlay Shares is 0.0305. Sortino Ratio for Overlay Shares is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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