ETSX.TO's Sortino Ratio of 3.36 indicates that for each unit of downside volatility, it generates 3.36 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 4, 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.
ETSX.TO Sortino Ratio Rank
ETSX.TO ranks above 74.7% of all investments in our database based on Sortino Ratio over the past 12 months, indicating above-average 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
- Above-average downside protection with room for improvement
- Compare against category peers to gauge relative positioning
- Monitor for movement toward top tier or decline toward median
- Consider pairing with top-tier holdings to improve portfolio risk profile
ETSX.TO Sortino Ratio Market Positioning
The chart shows ETSX.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%): 1.31 or lower
- Yellow zone (middle 50%): 1.31 to 3.34
- Green zone (top 25%): 3.34 or higher
- Top 1%: 12.56+
- Median: 2.40 — half of all investments score higher
How it compares to other similar ETFs
The table compares Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged's Sortino Ratio with other ETFs in the Large Cap Blend Equities category across multiple time periods, showing how ETSX.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 Jun 4, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| KNGC.TO | Brompton Canadian Cash Flow Kings ETF | 6.34 | |||
| CLU.NEO | iShares US Fundamental Index ETF (CAD-Hedged) Common Class | 3.77 | |||
| HBF.TO | Harvest US Equity Leaders Income ETF Class A (CAD Hedged) | 3.52 | |||
| TPU.TO | TD U.S. Equity Index ETF | 3.42 | |||
| VUN.TO | Vanguard U.S. Total Market Index ETF | 3.39 | |||
| QUU.TO | Mackenzie US Large Cap Equity Index ETF | 3.39 | |||
| CNCL.TO | Global X Enhanced S&P/TSX 60 Covered Call ETF | 3.39 | |||
| XUSC.TO | iShares S&P 500 3% Capped Index ETF (CAD Units) | 3.39 | |||
| ETSX.TO | Evolve S&P/TSX 60 Enhanced Yield Fund CAD Unhedged | 3.36 | |||
| XUU.TO | iShares Core S&P U.S. Total Market Index ETF | 3.32 |
Historical Sortino Ratio
The chart shows ETSX.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 ETSX.TO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
Loading charts...
IHow does ETSX.TO fit in your portfolio?
Add your other holdings to see your portfolio's Sortino Ratio and find out.
Analyze Your Portfolio