Pembina Pipeline Sortino Ratio
| PPL Stock | | | CAD 60.53 -0.02 -0.03% |
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Pembina Pipeline Corp has current Sortino Ratio of 0.1361. 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 |
| = | 0.1361 | |
| ER[a] | = | Expected return on investing in Pembina Pipeline |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Pembina Pipeline Sortino Ratio Peers Comparison
Pembina Sortino Ratio Relative To Other Indicators
Pembina Pipeline Corp is rated
below average. in sortino ratio category among its top compatitors. It is currently under evaluation. in maximum drawdown category among its top compatitors reporting about
39.03 of Maximum Drawdown per Sortino Ratio. The ratio of Maximum Drawdown to Sortino Ratio for Pembina Pipeline Corp is roughly
39.03 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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