Penske Automotive Sortino Ratio
| PAG Stock | | | USD 168.81 3.90 2.36% |
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 Penske Automotive's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.0818 places Penske Automotive at its current reading on this measure. This reflects Penske Automotive's positioning relative to its own recent range within Automotive Retail.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0818 | |
| ER[a] | = | Expected return on investing in Penske Automotive |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Penske Automotive's Sortino Ratio of 0.0818 falls above the 0.01 peer average. Values range from -0.0093 (AutoNation) to 0.0358 (Mobileye Global Class), with wide dispersion across the group. Penske Automotive'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 Penske Automotive 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.
Penske Automotive records a Sortino Ratio of
0.08 and a Maximum Drawdown of
9.16 , yielding roughly
111.99 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Penske Automotive.
Methodology, Assumptions & Data Sources
Penske Automotive has a current Sortino Ratio reading of 0.0818. The Sortino Ratio for Penske Automotive is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Penske Automotive operates in the consumer discretionary sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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