ESGF.TO's Sortino Ratio of 0.17 indicates that for each unit of downside volatility, it generates 0.17 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 25, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
ESGF.TO Sortino Ratio Rank
ESGF.TO ranks above 12.1% of all investments in our database based on Sortino Ratio over the past 12 months, indicating weak returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Weak downside-adjusted returns relative to category peers
- Evaluate whether this holding aligns with your risk-return objectives
- Consider reducing exposure or implementing downside hedges
- Review higher-ranked alternatives in the same category
ESGF.TO Sortino Ratio Market Positioning
The chart shows ESGF.TO's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 0.95 or lower
- Yellow zone (middle 50%): 0.95 to 2.43
- Green zone (top 25%): 2.43 or higher
- Top 1%: 13.58+
- Median: 1.79 — half of all investments score higher
How it compares to other similar ETFs
The table compares BMO ESG US Corporate Bond Hedged to CAD Index ETF's Sortino Ratio with other ETFs in the Corporate Bonds, Investment Grade Bonds, ESG category across multiple time periods, showing how ESGF.TO's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jul 25, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| RQO.TO | RBC Target 2026 Corporate Bond Index ETF | 7.08 | |||
| SYLD.TO | Purpose Strategic Yield Fund | 4.78 | |||
| HFR.TO | Global X Active Ultra-Short Term Investment Grade Bond ETF | 4.47 | |||
| RQP.TO | RBC Target 2027 Canadian Corporate Bond Index ETF | 4.29 | |||
| CFRN.TO | CIBC Active Investment Grade Floating Rate Bond ETF | 3.56 | |||
| ESGC.TO | Invesco S&P/TSX Composite ESG Index ETF | 3.39 | |||
| DXV.TO | Dynamic Active Ultra Short Term Bond ETF | 3.12 | |||
| ESGG.TO | BMO MSCI Global Selection Equity Index ETF | 2.51 | |||
| CRED.TO | CI Alternative Investment Grade Credit Fund | 2.51 | |||
| ESGA.TO | BMO MSCI Canada Selection Equity Index ETF | 2.48 | |||
| ESGF.TO | BMO ESG US Corporate Bond Hedged to CAD Index ETF | 0.17 |
Historical Sortino Ratio
The chart shows ESGF.TO's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when ESGF.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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