Invesco Dorsey Wright Basic Materials Momentum ETF (PYZ)

105.79 -1.53 (-1.42%) USD  |  NASDAQ  |  Dec 08, 16:00
106.01 +0.22 (+0.21%) Pre-Market: 20:00
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PYZ 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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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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Historical Sortino (Since Inception) Benchmarks

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Invesco Dorsey Wright Consumer Cyclicals Mo ETF Upgrade
Invesco Dorsey Wright Financial Momentum ETF Upgrade
Invesco Dorsey Wright Consumer Staples Mo ETF Upgrade
Invesco Dorsey Wright Healthcare Momentum ETF Upgrade
Invesco Dorsey Wright Utilities Momentum 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