S&P 500 Sortino Ratio
| USSPX Fund | | | USD 89.10 1.26 1.43% |
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 S&P 500's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.1355, S&P 500 shows its current reading on this measure. This reflects S&P 500's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1355 | |
| ER[a] | = | Expected return on investing in S&P 500 |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
S&P 500 falls above the 0.06 peer average for Sortino Ratio. Columbia Seligman Munications leads at 0.2045 while T Rowe Price registers the lowest at -0.0083. S&P 500'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 Sampp 500 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.
S&P 500's Maximum Drawdown of
3.75 runs about
27.68 times its Sortino Ratio of
0.14 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for S&P 500.
Methodology, Assumptions & Data Sources
S&P 500's Sortino Ratio currently stands at 0.1355. Sortino Ratio for S&P 500 is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. S&P 500 operates in the large blend funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. 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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