Invesco SAMPP Sortino Ratio
| RSPN ETF | | | 61.49 -0.17 -0.28% |
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 SAMPP's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
A Sortino Ratio of
-0.001 for Invesco SAMPP signals its current reading on this measure. This reflects Invesco SAMPP's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | -0.001 | |
| ER[a] | = | Expected return on investing in Invesco SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Among sector peers, Invesco SAMPP's Sortino Ratio of -0.001 is below the 0.09 group average. The range runs from 0.01 (iShares Transportation Average) to 0.1506 (Invesco DWA SmallCap). Invesco SAMPP's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Invesco SAMPP 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.
Compare Invesco SAMPP to PeersMethodology, Assumptions & Data Sources
The current Sortino Ratio for Invesco SAMPP is -0.001. Sortino Ratio for Invesco SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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