Invesco Active Sortino Ratio
| PSR ETF | | | USD 101.52 -0.78 -0.76% |
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 Active's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
At 0.1384, Invesco Active exhibits its current reading on this measure in Sortino Ratio. This reflects Invesco Active's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1384 | |
| ER[a] | = | Expected return on investing in Invesco Active |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Relative to peers, Invesco Active's Sortino Ratio is above the group average of 0.1. Peer readings range from 0.061 (Amplify Video Game) to 0.1757 (Fidelity Metaverse ETF), reflecting wide dispersion across the sector. Invesco Active'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 Active 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.
Invesco Active's Sortino Ratio reads
0.14 while Maximum Drawdown reads
4.83 , a
34.87 ratio between the two. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Invesco Active.
Methodology, Assumptions & Data Sources
Invesco Active has a current Sortino Ratio reading of 0.1384. This Sortino Ratio reading for Invesco Active results from applying the indicator's calculation rules to price and volume data over the selected window. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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