SPDR MSCI EAFE Fossil Fuel Reserves Free ETF (EFAX)

40.24 +0.19 (+0.47%) USD  |  NYSEARCA  |  Dec 26, 13:28
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EFAX 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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Sortino Ratio Definition

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The Sortino Ratio is named after Frank Sortino, who is widely recognized for his use of downside risk.

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Historical Sortino (5Y) Range, Past 5 Years

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Historical Sortino (5Y) Benchmarks

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Invesco S&P Intl Developed Low Volatility ETF Upgrade
Xtrackers MSCI All Wld x US Hdg Eqty ETF Upgrade
iShares Currency Hedged MSCI ACWI ex US ETF Upgrade
Nuveen ESG International Developed Markets Eqty Upgrade
PIMCO RAFI Dynamic Multi-Factor Internatl Eqty 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