Pacer Funds Sortino Ratio
| PSMD ETF | | | USD 33.92 0.01 0.03% |
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 Pacer Funds's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.1091, Pacer Funds's Sortino Ratio indicates its current reading on this measure. This reflects Pacer Funds's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1091 | |
| ER[a] | = | Expected return on investing in Pacer Funds |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, Pacer Funds's Sortino Ratio of 0.1091 is below the 0.19 group average. The range runs from 0.0954 (Innovator ETFs Trust) to 0.4262 (Pacer Swan SOS). Pacer Funds'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 Pacer Funds 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.
With Sortino Ratio at
0.11 and Maximum Drawdown at
1.95 , Pacer Funds shows a
17.91 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Pacer Funds.
Methodology, Assumptions & Data Sources
Pacer Funds' Sortino Ratio currently stands at 0.1091. The Sortino Ratio for Pacer Funds is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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