Tactical Advantage Sortino Ratio
| FDAT ETF | | | 22.19 0.24 1.09% |
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 Tactical Advantage's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Tactical Advantage has a Sortino Ratio of 0.0319, indicating its current reading on this measure. This reflects Tactical Advantage's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0319 | |
| ER[a] | = | Expected return on investing in Tactical Advantage |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.14 for Sortino Ratio, with Tactical Advantage at 0.0319 falling below that level. Readings span -0.0195 (First Trust Vivaldi) to 0.2718 (First Trust S Network). Tactical Advantage'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 Tactical Advantage 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.
Comparing Sortino Ratio (
0.03 ) to Maximum Drawdown (
3.49 ) for Tactical Advantage yields a
109.55 multiple. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Tactical Advantage.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Tactical Advantage is 0.0319. Tactical Advantage's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. 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.
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