MMTM's Sortino Ratio of 1.63 indicates that for each unit of downside volatility, it generates 1.63 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 12, 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.
MMTM Sortino Ratio Rank
MMTM ranks above 38.3% 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
MMTM Sortino Ratio Market Positioning
The chart shows MMTM'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%): 1.16 or lower
- Yellow zone (middle 50%): 1.16 to 2.67
- Green zone (top 25%): 2.67 or higher
- Top 1%: 14.18+
- Median: 1.99 — half of all investments score higher
How it compares to other similar ETFs
The table compares SPDR S&P 1500 Momentum Tilt ETF's Sortino Ratio with other ETFs in the Momentum, Large Cap Growth Equities category across multiple time periods, showing how MMTM'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 12, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| ULVM | VictoryShares US Value Momentum ETF | 3.51 | |||
| PTH | Invesco DWA Healthcare Momentum ETF | 3.31 | |||
| SPVM | Invesco S&P 500 Value with Momentum ETF | 3.29 | |||
| NACP | Impact Shares NAACP Minority Empowerment ETF | 3.18 | |||
| DGRO | iShares Core Dividend Growth ETF | 3.17 | |||
| HLAL | Wahed FTSE USA Shariah ETF | 3.16 | |||
| ROUS | Hartford Multifactor US Equity ETF | 3.13 | |||
| MFUS | PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 3.07 | |||
| DVLU | First Trust Dorsey Wright Momentum & Value ETF | 3.01 | |||
| QARP | Xtrackers Russell 1000 US Quality at a Reasonable Price ETF | 3.00 | |||
| MMTM | SPDR S&P 1500 Momentum Tilt ETF | 1.63 |
Historical Sortino Ratio
The chart shows MMTM'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 MMTM consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
Loading charts...
IHow does MMTM fit in your portfolio?
Add your other holdings to see your portfolio's Sortino Ratio and find out.
Analyze Your Portfolio