Invesco Dorsey Wright Financial Momentum ETF (PFI)

57.96 +0.52 (+0.91%) USD  |  NASDAQ  |  Dec 26, 16:00
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PFI Max Drawdown (5Y): 43.08% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Historical Data

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Max Drawdown Definition

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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.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Invesco S&P SmallCap Financials ETF 45.39%
Invesco KBW Regional Banking ETF 52.79%
Financial Select Sector SPDR Fund 42.83%
First Trust NASDAQ ABA Community Bank Index Fund 49.30%
Fidelity Disruptive Finance ETF --

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -0.8176
Beta (5Y) 1.102
Alpha (vs YCharts Benchmark) (5Y) 0.1127
Beta (vs YCharts Benchmark) (5Y) 0.9223
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 23.95%
Historical Sharpe Ratio (5Y) 0.4263
Historical Sortino (5Y) 0.4712
Monthly Value at Risk (VaR) 5% (5Y Lookback) 9.57%