UBS ETF Sortino Ratio
| USMUFS ETF | | | CHF 24.88 -0.80 -3.12% |
Technical inputs supporting the Sortino Ratio indicator for UBS ETF plc are shown here. Coverage differences may occur across instruments and market segments. Diversification context is available through
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UBS ETF plc has current Sortino Ratio of 0.1084. 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 |
| = | 0.1084 | |
| ER[a] | = | Expected return on investing in UBS ETF |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Sortino Ratio Relative To Other Indicators
UBS ETF plc is rated
second in sortino ratio compared to similar ETFs. It is currently under evaluation in maximum drawdown compared to similar ETFs reporting about
33.80 of Maximum Drawdown per Sortino Ratio. At
33.80 , UBS ETF plc'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
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