FT Cboe Sortino Ratio
| BUFZ ETF | | | 27.56 0.10 0.36% |
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 FT Cboe's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
With Sortino Ratio at 0.1063, FT Cboe shows its current reading on this measure. This reflects FT Cboe's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1063 | |
| ER[a] | = | Expected return on investing in FT Cboe |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
FT Cboe's Sortino Ratio of 0.1063 falls above the 0.1 peer average. Values range from 0.0717 (Avantis Real Estate) to 0.1283 (First Trust Exchange Traded), with moderate dispersion across the group. FT Cboe'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 FT Cboe 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.
FT Cboe's Maximum Drawdown of
1.83 runs about
17.17 times its Sortino Ratio of
0.11 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for FT Cboe.
Methodology, Assumptions & Data Sources
FT Cboe has a current Sortino Ratio reading of 0.1063. Sortino Ratio for FT Cboe is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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