Firm Capital Sortino Ratio
| FCD-UN Stock | | | 6.64 0.04 0.61% |
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 Firm Capital's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The Sortino Ratio of 0.1216 for Firm Capital indicates its current reading on this measure. This reflects Firm Capital's positioning relative to its own recent range within Retail REITs.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1216 | |
| ER[a] | = | Expected return on investing in Firm Capital |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, Firm Capital's Sortino Ratio of 0.1216 is above the 0.07 group average. The range runs from 0.0262 (Pro Real Estate) to 0.2019 (Canadian Net Real). Firm Capital'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 Firm Capital 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.
Firm Capital's Maximum Drawdown of
4.78 runs about
39.28 times its Sortino Ratio of
0.12 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Firm Capital.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Firm Capital is 0.1216. Sortino Ratio for Firm Capital is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Firm Capital operates in the real estate sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. 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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