QUANTEX FUND Sortino Ratio
| FLCGX Fund | | | USD 40.08 0.64 1.62% |
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 QUANTEX FUND's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.0965, QUANTEX FUND's Sortino Ratio indicates its current reading on this measure. This reflects QUANTEX FUND's positioning relative to its own recent range within Mutual Fund Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0965 | |
| ER[a] | = | Expected return on investing in QUANTEX FUND |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.04 for Sortino Ratio, with QUANTEX FUND at 0.0965 falling above that level. Readings span -0.0497 (Innovator Equity Managed) to 0.0955 (Astoncrosswind Small Cap). QUANTEX FUND'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 Quantex 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.
QUANTEX FUND's Maximum Drawdown of
3.91 runs about
40.48 times its Sortino Ratio of
0.10 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for QUANTEX FUND.
Methodology, Assumptions & Data Sources
QUANTEX FUND has a current Sortino Ratio reading of 0.0965. Sortino Ratio for QUANTEX FUND 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. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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