SMI 3Fourteen Sortino Ratio
| FCTE ETF | | | 26.72 -0.10 -0.37% |
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 SMI 3Fourteen's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The Sortino Ratio of 0.0246 for SMI 3Fourteen indicates its current reading on this measure. This reflects SMI 3Fourteen's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0246 | |
| ER[a] | = | Expected return on investing in SMI 3Fourteen |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, SMI 3Fourteen's Sortino Ratio is below the group average of 0.11. Peer readings range from 0.0345 (SPDR SAMPP Software) to 0.1504 (Swan Hedged Equity), reflecting wide dispersion across the sector. SMI 3Fourteen's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for SMI 3Fourteen 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.
With Sortino Ratio at
0.02 and Maximum Drawdown at
6.92 , SMI 3Fourteen shows a
281.25 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for SMI 3Fourteen.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for SMI 3Fourteen is 0.0246. This Sortino Ratio reading for SMI 3Fourteen 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 output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators