Putnam Equity Sortino Ratio
| PEYAX Fund | | | USD 41.92 0.20 0.48% |
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 Putnam Equity's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Putnam Equity registers a Sortino Ratio of 0.0339, reflecting its current reading on this measure. This reflects Putnam Equity's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0339 | |
| ER[a] | = | Expected return on investing in Putnam Equity |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Putnam Equity's Sortino Ratio of 0.0339 falls below the 0.06 peer average. Values range from 0.0044 (Columbia Dividend Income) to 0.1144 (New Economy Fund), with wide dispersion across the group. Putnam Equity'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 Putnam Equity 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.
Putnam Equity's Maximum Drawdown of
3.17 runs about
93.36 times its Sortino Ratio of
0.03 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Putnam Equity.
Methodology, Assumptions & Data Sources
Putnam Equity has a current Sortino Ratio reading of 0.0339. Sortino Ratio for Putnam Equity 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. 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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