Global X Sortino Ratio
| URA ETF | | | USD 55.18 -1.08 -1.92% |
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 Global X's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Global X's Sortino Ratio of 0.0574 reflects its current reading on this measure. This reflects Global X's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0574 | |
| ER[a] | = | Expected return on investing in Global X |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.06 for Sortino Ratio, with Global X at 0.0574 falling below that level. Readings span 0.0065 (Global X Copper) to 0.1209 (iShares MSCI KLD). Global X'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 Global X 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.
Global X's Maximum Drawdown of
14.09 runs about
245.53 times its Sortino Ratio of
0.06 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Global X.
Methodology, Assumptions & Data Sources
Global X has a current Sortino Ratio reading of 0.0574. The Sortino Ratio for Global X applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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