Invesco Russell 2000 Dynamic Multifactor ETF (OMFS)

39.94 -0.27 (-0.67%) USD  |  BATS  |  Dec 24, 13:00
39.94 0.00 (0.00%) After-Hours: 13:55
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OMFS Historical Sortino (Since Inception)

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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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 (Since Inception) Range, Past 5 Years

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Historical Sortino (Since Inception) Benchmarks

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Invesco S&P SmallCap Low Volatility ETF Upgrade
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Timothy Plan US Small Cap Core ETF Upgrade
BNY Mellon US Small Cap Core Equity ETF 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