NATO's Sortino Ratio of 0.82 indicates that for each unit of downside volatility, it generates 0.82 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 15, 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.
NATO Sortino Ratio Rank
NATO ranks above 18.0% 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
NATO Sortino Ratio Market Positioning
The chart shows NATO'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 2.68
- Green zone (top 25%): 2.68 or higher
- Top 1%: 13.83+
- Median: 2.03 — half of all investments score higher
How it compares to other similar ETFs
The table compares Themes Transatlantic Defense ETF's Sortino Ratio with other ETFs in the Aerospace & Defense category across multiple time periods, showing how NATO'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 15, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| GCAD | Gabelli Commercial Aerospace & Defense ETF | 2.20 | |||
| UFO | Procure Space ETF | 1.89 | |||
| FOWF | Pacer Solactive Whitney Future of Warfare ETF | 1.64 | |||
| ITA | iShares U.S. Aerospace & Defense ETF | 1.56 | |||
| PPA | Invesco Aerospace & Defense ETF | 1.46 | |||
| XAR | SPDR S&P Aerospace & Defense ETF | 1.38 | |||
| DFEN | Direxion Daily Aerospace & Defense Bull 3X Shares | 1.31 | |||
| ARKX | ARK Space Exploration & Innovation ETF | 1.20 | |||
| NATO | Themes Transatlantic Defense ETF | 0.82 | |||
| IDEF | iShares Defense Industrials Active ETF | 0.81 |
Historical Sortino Ratio
The chart shows NATO'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 NATO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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