First Trust Multi Cap Value AlphaDEX Fund (FAB)

92.35 -0.15 (-0.16%) USD  |  NASDAQ  |  Jan 13, 16:00
92.21 -0.14 (-0.15%) Pre-Market: 20:00
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FAB Historical Sortino (10Y)

Historical Sortino (10Y) Chart

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Sep '18
Jan '19
May '19
 
285.00
270.00
255.00
240.00
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Historical Data

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Historical Sortino Ratio Definition

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Measures risk-adjusted return like the Sharpe Ratio but focuses only on downside volatility, isolating harmful fluctuations while ignoring upside movements.

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Historical Sortino (10Y) Range, Past 5 Years

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Historical Sortino (10Y) Benchmarks

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iShares Russell Mid-Cap Value ETF Upgrade
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Franklin US Low Volatility High Dividend Index Upgrade
JPMorgan Diversified Return US Mid Cap Equity ETF --

Historical Sortino (10Y) Related Metrics

Alpha (10Y) Upgrade
Beta (10Y) Upgrade
Alpha (vs YCharts Benchmark) (10Y) Upgrade
Beta (vs YCharts Benchmark) (10Y) Upgrade
Annualized Standard Deviation of Monthly Returns (10Y Lookback) Upgrade
Historical Sharpe Ratio (10Y) Upgrade
Max Drawdown (10Y) Upgrade
Monthly Value at Risk (VaR) 5% (10Y Lookback) Upgrade