Commonwealth Bank Sortino Ratio
| CBAPI Preferred Stock | | | 101.79 0.29 0.29% |
The Sortino Ratio calculation for Commonwealth Bank draws on price and volume history. Data availability for the calculation period determines indicator completeness. Commonwealth Bank has a market cap of 167.46 B, ROE of 13.14%. For allocation context, review
Trending Equities. This captures an allocation to Commonwealth Bank of. It is represented within the portfolio holdings. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as
signals in gross domestic product.
Commonwealth Bank of has current Sortino Ratio of 0.4702. The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a special subset of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or the required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment risk-adjusted returns, they do so in significantly different ways that will frequently lead to differing conclusions as the true nature of the investment return-generating efficiency.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.4702 | |
| ER[a] | = | Expected return on investing in Commonwealth Bank |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Sortino Ratio Relative To Other Indicators
Commonwealth Bank of ranks first in sortino ratio among leading competitors. It is currently under evaluation in maximum drawdown among leading competitors reporting about
2.41 of Maximum Drawdown per Sortino Ratio. At
2.41 , Commonwealth Bank of's Maximum Drawdown-to-Sortino Ratio multiple reflects the spread between these metrics
The Sortino ratio is named after Frank A. Sortino and can be interpreted as the actual rate of return in excess of the investor target rate of return per unit of downside risk
Compare Commonwealth Bank to Peers
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