Legg Mason Sortino Ratio
| QLMAFX Fund | | | USD 13.98 -0.07 -0.50% |
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 Legg Mason's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.0483, Legg Mason exhibits its current reading on this measure in Sortino Ratio. This reflects Legg Mason's positioning relative to its own recent range within Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0483 | |
| ER[a] | = | Expected return on investing in Legg Mason |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Legg Mason falls above the -0.05 peer average for Sortino Ratio. leads at 0.0 while Vanguard Limited Term Tax Exempt registers the lowest at -0.0899. Legg Mason'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 Legg Mason 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.
Legg Mason's Maximum Drawdown of
2.55 runs about
52.83 times its Sortino Ratio of
0.05 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Legg Mason.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Legg Mason is 0.0483. This Sortino Ratio reading for Legg Mason results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
Other Technical Indicators