FlexShares Morningstar Sortino Ratio
| TILT ETF | | | USD 269.20 1.94 0.73% |
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 FlexShares Morningstar's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
FlexShares Morningstar has a Sortino Ratio of 0.0917, indicating its current reading on this measure. This reflects FlexShares Morningstar's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0917 | |
| ER[a] | = | Expected return on investing in FlexShares Morningstar |
| 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 FlexShares Morningstar at 0.0917 falling above that level. Readings span 0.02 (WisdomTree Europe Hedged) to 0.1439 (WisdomTree Trust ). FlexShares Morningstar'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 FlexShares Morningstar 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.
Comparing Sortino Ratio (
0.09 ) to Maximum Drawdown (
3.89 ) for FlexShares Morningstar yields a
42.42 multiple. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for FlexShares Morningstar.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for FlexShares Morningstar is 0.0917. The Sortino Ratio for FlexShares Morningstar is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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