AdvisorShares Pure Sortino Ratio
| YOLO ETF | | | USD 3.18 0.12 3.92% |
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 AdvisorShares Pure's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.0618 for AdvisorShares Pure signals its current reading on this measure. This reflects AdvisorShares Pure's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0618 | |
| ER[a] | = | Expected return on investing in AdvisorShares Pure |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, AdvisorShares Pure's Sortino Ratio of 0.0618 is below the 0.11 group average. The range runs from 0.0203 (John Hancock Exchange Traded) to 0.3056 (AllianzIM Large Cap). AdvisorShares Pure'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 AdvisorShares Pure 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.
AdvisorShares Pure shows nearly
459.20 of Maximum Drawdown per unit of Sortino Ratio (
0.06 versus
28.38 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for AdvisorShares Pure.
Methodology, Assumptions & Data Sources
AdvisorShares Pure has a current Sortino Ratio reading of 0.0618. Sortino Ratio for AdvisorShares Pure is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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