Global X Sortino Ratio
| HBGD Etf | | | CAD 51.07 0.77 1.53% |
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Global X Big has current Sortino Ratio of 0.1166. 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 |
| = | 0.1166 | |
| ER[a] | = | Expected return on investing in Global X |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Global X Sortino Ratio Peers Comparison
Global Sortino Ratio Relative To Other Indicators
Global X Big lands at
#4 in sortino ratio against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
101.70 in Maximum Drawdown for each unit of Sortino Ratio. The spread between Maximum Drawdown and Sortino Ratio for Global X Big sits at
101.70 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
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