Innovator SAMPP Sortino Ratio
| PAPR ETF | | | USD 41.45 0.10 0.24% |
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 Innovator SAMPP's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Innovator SAMPP has a Sortino Ratio of 0.3806, indicating its current reading on this measure. This reflects Innovator SAMPP's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.3806 | |
| ER[a] | = | Expected return on investing in Innovator SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.09 for Sortino Ratio, with Innovator SAMPP at 0.3806 falling above that level. Readings span 0.058 (Innovator SAMPP 500) to 0.2328 (FT Cboe Vest). Innovator SAMPP'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 Innovator SAMPP 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.
Innovator SAMPP's Sortino Ratio reads
0.38 while Maximum Drawdown reads
1.54 , a
4.05 ratio between the two. This indicates Maximum Drawdown is significantly higher than Sortino Ratio for Innovator SAMPP.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Innovator SAMPP is 0.3806. The Sortino Ratio for Innovator SAMPP is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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