First Trust Sortino Ratio
| FNK ETF | | | USD 59.79 0.14 0.23% |
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 First Trust's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of 0.0207 for First Trust signals its current reading on this measure. This reflects First Trust's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0207 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, First Trust's Sortino Ratio of 0.0207 is below the 0.07 group average. The range runs from -0.0197 (iShares Intl High) to 0.1405 (Avantis Emerging Markets). First Trust'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 First Trust 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.
The Maximum Drawdown-to-Sortino Ratio ratio for First Trust sits near
209.24 , with Sortino Ratio at
0.02 and Maximum Drawdown at
4.33 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Sortino Ratio currently stands at 0.0207. The Sortino Ratio for First Trust applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. 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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