Valaris Sortino Ratio
| VAL Stock | | | USD 97.34 6.15 6.74% |
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 Valaris's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Valaris has a Sortino Ratio of 0.2552, indicating its current reading on this measure. This reflects Valaris's positioning relative to its own recent range within Energy Equipment & Services.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.2552 | |
| ER[a] | = | Expected return on investing in Valaris |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.16 for Sortino Ratio, with Valaris at 0.2552 falling above that level. Readings span 0.0248 (Valvoline) to 0.3315 (Archrock). Valaris'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 Valaris 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.
The Maximum Drawdown-to-Sortino Ratio ratio for Valaris sits near
163.01 , with Sortino Ratio at
0.26 and Maximum Drawdown at
41.60 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Valaris.
Methodology, Assumptions & Data Sources
Valaris' Sortino Ratio currently stands at 0.2552. The Sortino Ratio for Valaris applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Valaris operates in the energy 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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