Franklin FTSE Sortino Ratio
| FLLA ETF | | | USD 28.95 -0.19 -0.65% |
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 Franklin FTSE's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Franklin FTSE has a Sortino Ratio of 0.0339, indicating its current reading on this measure. This reflects Franklin FTSE's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0339 | |
| ER[a] | = | Expected return on investing in Franklin FTSE |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.1 for Sortino Ratio, with Franklin FTSE at 0.0339 falling below that level. Readings span 0.0427 (John Hancock Exchange Traded) to 0.1227 (Themes Generative Artificial). Franklin FTSE'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 Franklin FTSE 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.
Franklin FTSE's Maximum Drawdown of
7.13 runs about
210.24 times its Sortino Ratio of
0.03 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Franklin FTSE.
Methodology, Assumptions & Data Sources
Franklin FTSE's Sortino Ratio currently stands at 0.0339. Sortino Ratio for Franklin FTSE is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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