SPDR SAMPP Sortino Ratio
| XSD ETF | | | USD 554.17 30.39 5.80% |
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 SPDR SAMPP's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
SPDR SAMPP registers a Sortino Ratio of 0.2984, reflecting its current reading on this measure. This reflects SPDR SAMPP's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.2984 | |
| ER[a] | = | Expected return on investing in SPDR SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
SPDR SAMPP falls above the 0.16 peer average for Sortino Ratio. ProShares Ultra Semiconductors leads at 0.2593 while Fidelity MSCI Communication registers the lowest at 0.0525. SPDR 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 SPDR 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.
With Sortino Ratio at
0.30 and Maximum Drawdown at
10.98 , SPDR SAMPP shows a
36.80 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for SPDR SAMPP.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for SPDR SAMPP is 0.2984. SPDR 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. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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