First Trust Sortino Ratio
| EIPX ETF | | | USD 32.02 0.35 1.11% |
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
The Sortino Ratio of 0.1399 for First Trust indicates its current reading on this measure. This reflects First Trust's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1399 | |
| 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 0.08. Peer readings range from 0.0317 (iShares Currency Hedged) to 0.1377 (USCF Midstream Energy), reflecting wide 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's Maximum Drawdown of
3.82 runs about
27.30 times its Sortino Ratio of
0.14 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Sortino Ratio currently stands at 0.1399. 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. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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