T ROWE Sortino Ratio
| PFFRX Fund | | | USD 9.32 0.01 0.11% |
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 T ROWE's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The Sortino Ratio of
-0.02 for T ROWE indicates its current reading on this measure. This reflects T ROWE's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | -0.02 | |
| ER[a] | = | Expected return on investing in T ROWE |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, T ROWE's Sortino Ratio is above the group average of -0.07. Peer readings range from -0.3163 (Candriam Bonds Credit) to 0.0 (), reflecting tight clustering across the sector. T ROWE'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 T Rowe 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.
Compare T ROWE to PeersMethodology, Assumptions & Data Sources
T ROWE has a current Sortino Ratio reading of -0.02. The Sortino Ratio for T ROWE is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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