First Trust Sortino Ratio
| AFSM ETF | | | USD 37.70 0.37 0.99% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is First Trust's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.0808, First Trust exhibits its current reading on this measure in Sortino Ratio. This reflects First Trust's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0808 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, First Trust's Sortino Ratio is above the group average of 0.07. Peer readings range from 0.0336 (Advisors Inner Circle) to 0.0883 (Xtrackers Emerging Markets), reflecting moderate dispersion across the sector. First Trust's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
First Trust shows nearly
68.24 of Maximum Drawdown per unit of Sortino Ratio (
0.08 versus
5.51 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for First Trust.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for First Trust is 0.0808. This Sortino Ratio reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
Other Technical Indicators