Invesco Dorsey Wright Basic Materials Momentum ETF (PYZ)

87.42 -0.16 (-0.18%) USD  |  NASDAQ  |  Jan 08, 16:00
86.81 -0.61 (-0.70%) After-Hours: 20:00
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PYZ Historical Sortino (3Y)

Historical Sortino (3Y) 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 (3Y) Range, Past 5 Years

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Median

Historical Sortino (3Y) Benchmarks

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Sprott Junior Copper Miners ETF --
Invesco MSCI Global Timber ETF Upgrade
Invesco S&P SmallCap Materials ETF Upgrade
VanEck Steel ETF Upgrade
Sprott Nickel Miners ETF --

Historical Sortino (3Y) Related Metrics

Alpha (3Y) Upgrade
Beta (3Y) Upgrade
Alpha (vs YCharts Benchmark) (3Y) Upgrade
Beta (vs YCharts Benchmark) (3Y) Upgrade
Annualized Standard Deviation of Monthly Returns (3Y Lookback) Upgrade
Historical Sharpe Ratio (3Y) Upgrade
Max Drawdown (3Y) Upgrade
Monthly Value at Risk (VaR) 5% (3Y Lookback) Upgrade