|C -- USA Stock|| |
USD 63.12 0.65 0.01%
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Citigroup has current Sortino Ratio of 0.0. 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 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.
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ER[a] - ER[b]
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|ER[a]|| = || Expected return on investing in Citigroup|
|ER[b]|| = || Expected return on market index or selected benchmark|
|DD|| = || Downside Deviation|
Sortino Ratio Comparison
Citigroup is rated below average
in sortino ratio category among related companies. It is rated fourth
in maximum drawdown category among related companies .
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