SPDR SSGA Sortino Ratio
| SMLV ETF | | | USD 147.84 0.16 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 SPDR SSGA's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
SPDR SSGA's Sortino Ratio of 0.0699 reflects its current reading on this measure. This reflects SPDR SSGA's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0699 | |
| ER[a] | = | Expected return on investing in SPDR SSGA |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.07 for Sortino Ratio, with SPDR SSGA at 0.0699 falling below that level. Readings span -0.0084 (Gotham 1000 Value) to 0.1665 (SPDR SAMPP Oil). SPDR SSGA'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 SPDR SSGA 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.
SPDR SSGA produces
53.28 in Maximum Drawdown for each unit of Sortino Ratio, with respective readings of
3.72 and
0.07 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for SPDR SSGA.
Methodology, Assumptions & Data Sources
SPDR SSGA has a current Sortino Ratio reading of 0.0699. SPDR SSGA'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. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
Other Technical Indicators