IUMF.F.TO Historical Sortino (Since Inception) Analysis

Invesco Russell 1000 Dynmc-Mltfctr Idx ETF CAD Hgd (IUMF.F.TO)

24.10 +0.21 (+0.88%) CAD | TSX | Mar 04, 16:00

Historical Sortino (Since Inception) Chart

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Sep '18

Jan '19

May '19

285.00

270.00

255.00

240.00

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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 (Since Inception) Range, Past 5 Years

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Average

Median

Historical Sortino (Since Inception) Benchmarks

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Manulife Multifactor US Large Cap Index ETF Hgd	Upgrade
CIBC MSCI USA Equity Index ETF (CAD Hedged)	Upgrade
CI U.S. Enhanced Momentum Index ETF Unhedged	Upgrade
iShares Core S&P Total US Stock Mrkt Idx ETF Cd-H	--
Vanguard US Total Market Index ETF (CAD-hedged)	Upgrade

Historical Sortino (Since Inception) Related Metrics

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