Travelers Companies Sortino Ratio
| TRV Stock | | | USD 301.35 -0.18 -0.06% |
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 Travelers Companies's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Travelers Companies's Sortino Ratio of 0.0683 reflects its current reading on this measure. This reflects Travelers Companies's positioning relative to its own recent range within Property & Casualty Insurance.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0683 | |
| ER[a] | = | Expected return on investing in Travelers Companies |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.03 for Sortino Ratio, with Travelers Companies at 0.0683 falling above that level. Readings span 0.0155 (The Allstate) to 0.0526 (Chubb). Travelers Companies'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 Travelers Companies 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.
Travelers Companies produces
77.65 in Maximum Drawdown for each unit of Sortino Ratio, with respective readings of
5.30 and
0.07 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Travelers Companies.
Methodology, Assumptions & Data Sources
Travelers Companies' Sortino Ratio currently stands at 0.0683. The Sortino Ratio for Travelers Companies applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Travelers Companies operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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