General Electric Sortino Ratio

GE -  USA Stock  

USD 104.05  0.90  0.87%

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General Technical Indicator 

 
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General Electric has current Sortino Ratio of 6.37. 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 
 = 
6.37
ER[a] = Expected return on investing in General Electric
ER[b] = Expected return on market index or selected benchmark
DD = Downside Deviation

General Electric Sortino Ratio Peers Comparison

General Sortino Ratio Relative To Other Indicators

General Electric is rated # 2 in sortino ratio category among related companies. It is one of the top stocks in maximum drawdown category among related companies reporting about  106.85  of Maximum Drawdown per Sortino Ratio. The ratio of Maximum Drawdown to Sortino Ratio for General Electric is roughly  106.85 
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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