Direxion Auspice Broad Commodity Strategy ETF (COM)

30.13 +0.27 (+0.90%) USD  |  NYSEARCA  |  Dec 26, 16:00
30.06 -0.07 (-0.24%) After-Hours: 20:00
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COM Historical Sortino (5Y)

Historical Sortino (5Y) Chart

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Sep '18
Jan '19
May '19
 
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Historical Data

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Historical Sortino Ratio Definition

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Measures risk-adjusted return like the Sharpe Ratio but focuses only on downside volatility, isolating harmful fluctuations while ignoring upside movements.

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Historical Sortino (5Y) Range, Past 5 Years

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Median

Historical Sortino (5Y) Benchmarks

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USCF SummerHaven Dynamic Commodity Strat No K-1 Fd Upgrade
abrdn Bloomberg All Commodity Strat K-1 Free ETF Upgrade
Harbor Commodity All-Weather Strategy ETF --
VanEck CMCI Commodity Strategy ETF --
KraneShares Global Carbon Strategy ETF Upgrade

Historical Sortino (5Y) Related Metrics

Alpha (5Y) Upgrade
Beta (5Y) Upgrade
Alpha (vs YCharts Benchmark) (5Y) Upgrade
Beta (vs YCharts Benchmark) (5Y) Upgrade
Annualized Standard Deviation of Monthly Returns (5Y Lookback) Upgrade
Historical Sharpe Ratio (5Y) Upgrade
Max Drawdown (5Y) Upgrade
Monthly Value at Risk (VaR) 5% (5Y Lookback) Upgrade