STAG Industrial Sortino Ratio
| STAG Stock | | | USD 37.74 -0.84 -2.18% |
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 STAG Industrial's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.0555 for STAG Industrial signals its current reading on this measure. This reflects STAG Industrial's positioning relative to its own recent range within Diversified REITs.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0555 | |
| ER[a] | = | Expected return on investing in STAG Industrial |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, STAG Industrial's Sortino Ratio of 0.0555 is below the 0.09 group average. The range runs from 0.0341 (Starwood Property Trust) to 0.1665 (EastGroup Properties). STAG Industrial'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 STAG Industrial 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.
STAG Industrial records a Sortino Ratio of
0.06 and a Maximum Drawdown of
7.64 , yielding roughly
137.71 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for STAG Industrial.
Methodology, Assumptions & Data Sources
STAG Industrial has a current Sortino Ratio reading of 0.0555. Sortino Ratio for STAG Industrial is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. STAG Industrial operates in the real estate sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The output reflects the selected calculation window — changing the horizon will produce different readings. This stock metric is provided for analytical reference.
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