Future Fund Sortino Ratio
| FFND ETF | | | USD 31.69 0.14 0.44% |
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 Future Fund's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.0489 places Future Fund at its current reading on this measure. This reflects Future Fund's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0489 | |
| ER[a] | = | Expected return on investing in Future Fund |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Future Fund's Sortino Ratio of 0.0489 falls below the 0.11 peer average. Values range from 0.0686 (Simplify Equity PLUS) to 0.1417 (AIM ETF Products), with moderate dispersion across the group. Future Fund'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 Future Fund 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
0.05 and Maximum Drawdown at
4.60 , Future Fund shows a
94.06 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Future Fund.
Methodology, Assumptions & Data Sources
Future Fund has a current Sortino Ratio reading of 0.0489. Future Fund'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. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. 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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