Vanguard SAMPP Sortino Ratio
| VOOG ETF | | | USD 81.12 0.39 0.48% |
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 SAMPP's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.1583, Vanguard SAMPP exhibits its current reading on this measure in Sortino Ratio. This reflects Vanguard SAMPP's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1583 | |
| ER[a] | = | Expected return on investing in Vanguard SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, Vanguard SAMPP's Sortino Ratio is above the group average of 0.11. Peer readings range from 0.052 (iShares Core MSCI) to 0.2109 (iShares Technology ETF), reflecting wide dispersion across the sector. Vanguard SAMPP'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 Vanguard SAMPP 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.
Vanguard SAMPP records a Sortino Ratio of
0.16 and a Maximum Drawdown of
5.35 , yielding roughly
33.82 units of Maximum Drawdown per Sortino Ratio. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Vanguard SAMPP.
Methodology, Assumptions & Data Sources
Vanguard SAMPP has a current Sortino Ratio reading of 0.1583. Vanguard SAMPP's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. 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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