State Street Sortino Ratio
| SPDG ETF | | | 44.66 0.00 0.00% |
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 State Street's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
State Street's Sortino Ratio of 0.0238 reflects its current reading on this measure. This reflects State Street's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0238 | |
| ER[a] | = | Expected return on investing in State Street |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.1 for Sortino Ratio, with State Street at 0.0238 falling below that level. Readings span 0.0275 (Franklin Templeton Investments) to 0.2275 (Democracy Investment Management). State Street'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 State Street 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.
State Street records a Sortino Ratio of
0.02 and a Maximum Drawdown of
3.55 , yielding roughly
149.06 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for State Street.
Methodology, Assumptions & Data Sources
State Street has a current Sortino Ratio reading of 0.0238. The Sortino Ratio for State Street applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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