Vanguard Limited Sortino Ratio
| VMLTX Fund | | | USD 10.98 -0.01 -0.09% |
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 Vanguard Limited's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Vanguard Limited registers a Sortino Ratio of
-0.03, reflecting its current reading on this measure. This reflects Vanguard Limited's positioning relative to its own recent range within Vanguard Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | -0.03 | |
| ER[a] | = | Expected return on investing in Vanguard Limited |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Vanguard Limited's Sortino Ratio of -0.0266 falls below the 0.06 peer average. Values range from 0.0036 (Vanguard Mid Cap Growth) to 0.118 (T Rowe Price), with wide dispersion across the group. Vanguard Limited'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 Vanguard Limited 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.
Compare Vanguard Limited to PeersMethodology, Assumptions & Data Sources
Vanguard Limited's Sortino Ratio currently stands at -0.03. Sortino Ratio for Vanguard Limited is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Vanguard Limited operates in the muni national short 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.
Other Technical Indicators