FGOV.L's Sortino Ratio of 3.47 indicates that for each unit of downside volatility, it generates 3.47 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 5, 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.
FGOV.L Sortino Ratio Rank
FGOV.L ranks above 79.1% 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
FGOV.L Sortino Ratio Market Positioning
The chart shows FGOV.L'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%): 1.32 or lower
- Yellow zone (middle 50%): 1.32 to 3.32
- Green zone (top 25%): 3.32 or higher
- Top 1%: 12.75+
- Median: 2.40 — half of all investments score higher
How it compares to other similar ETFs
The table compares First Trust Low Duration Global Government Bond UCITS ETF GBP Hedged dist's Sortino Ratio with other ETFs in the Global Bonds category across multiple time periods, showing how FGOV.L'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 5, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| FGOV.L | First Trust Low Duration Global Government Bond UCITS ETF GBP Hedged dist | 3.47 | |||
| GLAU.L | SPDR Bloomberg Global Aggregate Bond UCITS ETF USD Hedged | 1.89 | |||
| AGHG.L | Amundi Index Global Aggregate 500M UCITS ETF DR - Hedged GBP (D) | 1.74 | |||
| GLAD.L | SPDR Bloomberg Global Aggregate Bond UCITS ETF USD Hedged (Acc) | 1.58 | |||
| GLAB.L | SPDR Bloomberg Global Aggregate Bond UCITS ETF GBP Hedged | 1.57 | |||
| GOVD.L | Lyxor Core Global Government Bond (DR) UCITS ETF - Dist | 1.56 | |||
| AGGU.L | iShares Core Global Aggregate Bond UCITS ETF | 1.55 | |||
| AEGG.L | iShares Global Aggregate Bond ESG UCITS ETF GBP Hedged (Acc) | 1.54 | |||
| VAGU.L | Vanguard Global Aggregate Bond UCITS ETF USD Hedged Accumulating | 1.49 | |||
| XBGG.L | Xtrackers II ESG Global Aggregate Bond UCITS ETF 3D GBP hedged | 1.40 |
Historical Sortino Ratio
The chart shows FGOV.L'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 FGOV.L consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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