T Rowe Sortino Ratio
| PRVIX Fund | | | USD 58.58 0.84 1.45% |
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
With Sortino Ratio at 0.0857, T Rowe shows 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 |
| = | 0.0857 | |
| 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
T Rowe falls above the 0.07 peer average for Sortino Ratio. Schwab Fundamental Large leads at 0.1025 while Mfs Mid Cap registers the lowest at 0.0131. 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
5.62 runs about
65.53 times its Sortino Ratio of
0.09 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for T Rowe.
Methodology, Assumptions & Data Sources
T Rowe's Sortino Ratio currently stands at 0.0857. This Sortino Ratio reading for T Rowe results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. 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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