Hanover Insurance Sortino Ratio
| THG Stock | | | USD 177.54 -4.33 -2.38% |
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 Hanover Insurance's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Hanover Insurance has a Sortino Ratio of 0.0467, indicating its current reading on this measure. This reflects Hanover Insurance's positioning relative to its own recent range within Property & Casualty Insurance.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0467 | |
| ER[a] | = | Expected return on investing in Hanover Insurance |
| 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 Hanover Insurance at 0.0467 falling below that level. Readings span 5.0E-4 (NI Holdings) to 0.1426 (The Travelers Companies). Hanover Insurance'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 Hanover Insurance 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.
Hanover Insurance records a Sortino Ratio of
0.05 and a Maximum Drawdown of
4.21 , yielding roughly
90.12 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Hanover Insurance.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Hanover Insurance is 0.0467. Hanover Insurance'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. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Hanover Insurance operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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