T Rowe Sortino Ratio
| POMIX Fund | | | USD 77.26 -0.17 -0.22% |
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
A Sortino Ratio of 0.1248 for T Rowe signals its current reading on this measure. This reflects T Rowe's positioning relative to its own recent range within T. Rowe Price Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1248 | |
| 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
The peer group averages 0.11 for Sortino Ratio, with T Rowe at 0.1248 falling above that level. Readings span 0.0446 (Vanguard Mid Cap) to 0.1664 (Dreyfus Sampp 500). 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.
T Rowe's Maximum Drawdown of
3.61 runs about
28.96 times its Sortino Ratio of
0.12 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for T Rowe.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for T Rowe is 0.1248. T Rowe's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. T Rowe operates in the large blend sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. 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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