Global X Sortino Ratio
| HCON Etf | | | CAD 14.67 0.12 0.82% |
This dataset for Global X Conservative reflects inputs used in the Sortino Ratio calculation. Values are derived from historical price and volume observations. Use
Risk vs Return Analysis to explore diversified allocation structure. All values are presented as reference data. Global X Conservative can be included in a portfolio to evaluate diversification impact. All values are presented as reference data. Broader economic conditions can influence Global X Conservative's etf valuation — related indicators include
signals in inflation.
Global X Conservative has current Sortino Ratio of 0. 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 | |
| ER[a] | = | Expected return on investing in Global X |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Sortino Ratio Relative To Other Indicators
Global X Conservative is rated
below average in sortino ratio against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs .
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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