XLF's Sortino Ratio of 0.77 indicates that for each unit of downside volatility, it generates 0.77 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 11, 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.
XLF Sortino Ratio Rank
XLF ranks above 17.1% 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
XLF Sortino Ratio Market Positioning
The chart shows XLF'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%: 14.00+
- Median: 2.01 — half of all investments score higher
How it compares to other similar ETFs
The table compares State Street Financial Select Sector SPDR ETF's Sortino Ratio with other ETFs in the Financials Equities category across multiple time periods, showing how XLF'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 11, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| HSBH | HSBC Holdings plc ADRhedged ETF | 3.52 | |||
| GSIB | Themes Global Systemically Important Banks ETF | 3.41 | |||
| KBWB | Invesco KBW Bank ETF | 2.18 | |||
| EUFN | iShares MSCI Europe Financials ETF | 2.16 | |||
| IXG | iShares Global Financials ETF | 1.93 | |||
| PSCF | Invesco S&P SmallCap Financials ETF | 1.72 | |||
| FTXO | First Trust Nasdaq Bank ETF | 1.65 | |||
| DFNL | Davis Select Financial ETF | 1.63 | |||
| IAT | iShares U.S. Regional Banks ETF | 1.55 | |||
| IAK | iShares U.S. Insurance ETF | 1.54 | |||
| XLF | State Street Financial Select Sector SPDR ETF | 0.77 |
Historical Sortino Ratio
The chart shows XLF'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 XLF consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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