SPDR SAMPP Sortino Ratio
| XTN ETF | | | USD 104.27 -0.45 -0.43% |
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 SPDR SAMPP's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The Sortino Ratio of 0.0058 for SPDR SAMPP indicates 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 |
| = | 0.0058 | |
| 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
Relative to peers, SPDR SAMPP's Sortino Ratio is below the group average of 0.08. Peer readings range from 0.024 (Innovator ETFs Trust) to 0.2282 (SPDR SAMPP Telecom), reflecting wide dispersion across the sector. SPDR SAMPP'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 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.
SPDR SAMPP shows nearly
1,878 of Maximum Drawdown per unit of Sortino Ratio (
0.01 versus
10.89 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for SPDR SAMPP.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for SPDR SAMPP is 0.0058. The Sortino Ratio for SPDR SAMPP applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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