FCT's Sortino Ratio of 1.94 indicates that for each unit of downside volatility, it generates 1.94 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 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.
FCT Sortino Ratio Rank
FCT ranks above 24.9% of all investments in our database based on Sortino Ratio over the past 12 months, indicating below-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
- Returns may not adequately compensate for downside risk taken
- Consider smaller allocation given below-average risk-adjusted profile
- Explore higher-ranked investments with better downside protection
- Assess whether downside exposure aligns with your portfolio goals
FCT Sortino Ratio Market Positioning
The chart shows FCT's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.94 or lower
- Yellow zone (middle 50%): 1.94 to 3.30
- Green zone (top 25%): 3.30 or higher
- Top 1%: 9.06+
- Median: 2.74 — half of all investments score higher
How it compares to other similar mutual funds
The table compares First Trust Senior Floating Rate Income Fund II's Sortino Ratio with other mutual funds in the Bank Loan category across multiple time periods, showing how FCT'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 23, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| RCRIX | RiverPark Floating Rate CMBS Fund | 19.45 | |||
| PYFRX | Payden Floating Rate Fund | 9.02 | |||
| SAMBX | Virtus Seix Floating Rate High Income Fund | 7.57 | |||
| CAPIX | Calamos Aksia Alternative Credit and Income Fund Class I | 6.66 | |||
| FRFZX | PGIM Floating Rate Income Fund | 6.64 | |||
| DDFLX | Delaware Floating Rate Fund | 6.39 | |||
| LFRAX | Lord Abbett Floating Rate Fund Class A | 6.20 | |||
| NFIAX | Neuberger Berman Floating Rate Income Fund | 6.16 | |||
| LFRIX | Lord Abbett Floating Rate Fund | 6.00 | |||
| FFRHX | Fidelity Floating Rate High Income Fund | 5.94 | |||
| FCT | First Trust Senior Floating Rate Income Fund II | 1.94 |
Historical Sortino Ratio
The chart shows FCT'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 FCT consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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