Invesco Russell 2000® Dynamic Mltfct ETF (OMFS)
43.19
-0.63
(-1.44%)
USD |
BATS |
Nov 12, 16:00
OMFS Max Drawdown (5Y): 42.49% for Oct. 31, 2024
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
| Date | Value |
|---|---|
| October 31, 2024 | 42.49% |
| September 30, 2024 | 42.49% |
| August 31, 2024 | 42.49% |
| July 31, 2024 | 42.49% |
| June 30, 2024 | 42.49% |
| May 31, 2024 | 42.49% |
| April 30, 2024 | 42.49% |
| March 31, 2024 | 42.49% |
| February 29, 2024 | 42.49% |
| January 31, 2024 | 42.49% |
| December 31, 2023 | 42.49% |
| November 30, 2023 | 42.49% |
| October 31, 2023 | 42.49% |
| September 30, 2023 | 42.49% |
| August 31, 2023 | 42.49% |
| July 31, 2023 | 42.49% |
| June 30, 2023 | 42.49% |
| May 31, 2023 | 42.49% |
| April 30, 2023 | 42.49% |
| March 31, 2023 | 42.49% |
| February 28, 2023 | 42.49% |
| January 31, 2023 | 42.49% |
| December 31, 2022 | 42.49% |
| November 30, 2022 | 42.49% |
| October 31, 2022 | 42.49% |
| Date | Value |
|---|---|
| September 30, 2022 | 42.49% |
| August 31, 2022 | 42.49% |
| July 31, 2022 | 42.49% |
| June 30, 2022 | 42.49% |
| May 31, 2022 | 42.49% |
| April 30, 2022 | 42.49% |
| March 31, 2022 | 42.49% |
| February 28, 2022 | 42.49% |
| January 31, 2022 | 42.49% |
| December 31, 2021 | 42.49% |
| November 30, 2021 | 42.49% |
| October 31, 2021 | 42.49% |
| September 30, 2021 | 42.49% |
| August 31, 2021 | 42.49% |
| July 31, 2021 | 42.49% |
| June 30, 2021 | 42.49% |
| May 31, 2021 | 42.49% |
| April 30, 2021 | 42.49% |
| March 31, 2021 | 42.49% |
| February 28, 2021 | 42.49% |
| January 31, 2021 | 42.49% |
| December 31, 2020 | 42.49% |
| November 30, 2020 | 42.49% |
| October 31, 2020 | 42.49% |
| September 30, 2020 | 42.49% |
Max Drawdown Definition
Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.
Max Drawdown (5Y) Range, Past 5 Years
22.94%
Minimum
Nov 2019
42.49%
Maximum
Mar 2020
41.19%
Average
42.49%
Median
Mar 2020
Max Drawdown (5Y) Benchmarks
Max Drawdown (5Y) Related Metrics
| Alpha (5Y) | -7.366 |
| Beta (5Y) | 1.100 |
| Alpha (vs YCharts Benchmark) (5Y) | 0.8049 |
| Beta (vs YCharts Benchmark) (5Y) | 0.9807 |
| Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 26.33% |
| Historical Sharpe Ratio (5Y) | 0.2593 |
| Historical Sortino (5Y) | 0.3504 |
| Monthly Value at Risk (VaR) 5% (5Y Lookback) | 9.53% |