First Trust Sortino Ratio
| LMBS ETF | | | USD 49.85 -0.02 -0.04% |
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
First Trust's Sortino Ratio of
-0.07 reflects 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 |
| = | -0.07 | |
| 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
The peer group averages 0.05 for Sortino Ratio, with First Trust at -0.073 falling below that level. Readings span -0.0021 (iShares MSCI EAFE) to 0.1109 (Fidelity Covington Trust). 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.
Compare First Trust to PeersMethodology, Assumptions & Data Sources
First Trust's Sortino Ratio currently stands at -0.07. This Sortino Ratio reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. 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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