TAX's Sortino Ratio of 1.80 indicates that for each unit of downside volatility, it generates 1.80 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Aug 6, 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.
TAX Sortino Ratio Rank
TAX ranks above 43.0% of all investments in our database based on Sortino Ratio over the past 12 months, indicating moderate downside protection relative to peers. 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 are proportional to downside risk—neither strong nor weak
- Evaluate whether downside volatility aligns with your risk tolerance
- Review higher-ranked alternatives in the same category
- Monitor rank direction to identify improving or deteriorating trends
TAX Sortino Ratio Market Positioning
The chart shows TAX'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%): 1.05 or lower
- Yellow zone (middle 50%): 1.05 to 2.76
- Green zone (top 25%): 2.76 or higher
- Top 1%: 14.29+
- Median: 2.06 — half of all investments score higher
How it compares to other similar ETFs
The table compares Cambria Tax Aware ETF's Sortino Ratio with other ETFs in the Large Cap Value Equities category across multiple time periods, showing how TAX'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 Aug 6, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| PWV | Invesco Large Cap Value ETF | 4.90 | |||
| VLUE | iShares MSCI USA Value Factor ETF | 4.85 | |||
| IWX | iShares Russell Top 200 Value ETF | 4.67 | |||
| INCE | Franklin Income Equity Focus ETF | 4.63 | |||
| FBCV | Fidelity Blue Chip Value ETF | 4.59 | |||
| SEIV | SEI QiM U.S. Large Cap Value Active ETF | 4.58 | |||
| PVAL | Putnam Focused Large Cap Value ETF | 4.53 | |||
| FELV | Fidelity Enhanced Large Cap Value ETF | 4.51 | |||
| FNDX | Schwab Fundamental U.S. Large Company Index ETF | 4.50 | |||
| LVDS | JPMorgan Fundamental Data Science Large Value ETF | 4.48 | |||
| TAX | Cambria Tax Aware ETF | 1.80 |
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How much price history to include in the calculation
Historical Sortino Ratio
The chart shows TAX'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 TAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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