Vanguard U.S. Multifactor ETF (VFMF) Sortino Ratio: 1.94
VFMF'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 Apr 2, 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.
VFMF Sortino Ratio Rank
VFMF ranks above 74.1% 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
VFMF Sortino Ratio Market Positioning
The chart shows VFMF'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%): 0.81 or lower
- Yellow zone (middle 50%): 0.81 to 2.03
- Green zone (top 25%): 2.03 or higher
- Top 1%: 10.04+
- Median: 1.44 — half of all investments score higher
How it compares to other similar ETFs
The table compares Vanguard U.S. Multifactor ETF's Sortino Ratio with other ETFs in the Multi-factor category across multiple time periods, showing how VFMF'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 Apr 2, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| MFDX | PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 2.62 | |||
| MFEM | PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF | 2.48 | |||
| AAVM | Alpha Architect Global Factor Equity ETF | 2.36 | |||
| VSMV | VictoryShares US Multi-Factor Minimum Volatility ETF | 2.02 | |||
| VFMF | Vanguard U.S. Multifactor ETF | 1.94 | |||
| MFUS | PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 1.76 | |||
| QVMM | Invesco S&P MidCap 400 QVM Multi-factor ETF | 1.44 | |||
| AUSF | Global X Adaptive U.S. Factor ETF | 1.43 | |||
| QVMS | Invesco S&P SmallCap 600 QVM Multi-factor ETF | 1.41 | |||
| DEUS | Xtrackers Russell US Multifactor ETF | 1.37 |
Historical Sortino Ratio
The chart shows VFMF'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 VFMF consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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Explore VFMF risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.