Invesco Dynamic Sortino Ratio
| PSI ETF | | | USD 149.44 -6.72 -4.30% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is Invesco Dynamic's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.1955 places Invesco Dynamic at its current reading on this measure. This reflects Invesco Dynamic's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1955 | |
| ER[a] | = | Expected return on investing in Invesco Dynamic |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Invesco Dynamic's Sortino Ratio of 0.1955 falls above the 0.11 peer average. Values range from 0.0127 (Invesco SAMPP MidCap) to 0.1964 (ProShares Ultra Technology), with wide dispersion across the group. Invesco Dynamic's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Invesco Dynamic and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
At
0.20 for Sortino Ratio and
10.84 for Maximum Drawdown, Invesco Dynamic's cross-indicator ratio sits almost
55.46 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Invesco Dynamic.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Invesco Dynamic is 0.1955. Invesco Dynamic's Sortino Ratio is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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