Home Depot Sortino Ratio

HD -- USA Stock  

USD 200.27  0.27  0.13%

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The Home Depot has current Sortino Ratio of 0.4385. 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 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.
Home Depot 
Sortino Ratio 
 = 
ER[a] - ER[b] 
DD 
 = 
0.4385
ER[a] =   Expected return on investing in Home Depot
ER[b] =   Expected return on market index or selected benchmark
DD =   Downside Deviation

Sortino Ratio Comparison

The Home Depot is rated # 2 in sortino ratio category among related companies. It is rated below average in maximum drawdown category among related companies reporting about  6.39  of Maximum Drawdown per Sortino Ratio. The ratio of Maximum Drawdown to Sortino Ratio for The Home Depot is roughly  6.39 
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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