Alpha Architect US Quantitative Value ETF (QVAL)

45.18 -0.06 (-0.13%) USD  |  NASDAQ  |  Jan 08, 16:00
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QVAL Historical Sortino (5Y)

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

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Historical Sortino (5Y) Benchmarks

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Avantis US Mid Cap Value ETF --
First Trust Multi Cap Value AlphaDEX Fund Upgrade
Gotham 1000 Value ETF --
Nuveen ESG Mid-Cap Value ETF Upgrade
JPMorgan Diversified Return US Equity ETF Upgrade

Historical Sortino (5Y) Related Metrics

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