INVESCO DIVIDEND Sortino Ratio
| FSTUX Fund | | | USD 26.94 -0.38 -1.39% |
Reference data associated with the Sortino Ratio technical indicator for Invesco Dividend Income. Values may reflect normalized price or volume observations.
Invesco Dividend Income has current Sortino Ratio of 0.141. The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a special subset of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or the required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment risk-adjusted returns, they do so in significantly different ways that will frequently lead to differing conclusions as the true nature of the investment return-generating efficiency.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.141 | |
| ER[a] | = | Expected return on investing in INVESCO DIVIDEND |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Sortino Ratio Relative To Other Indicators
Invesco Dividend Income is rated
second in sortino ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
22.25 of Maximum Drawdown per Sortino Ratio. At
22.25 , Invesco Dividend Income's Maximum Drawdown-to-Sortino Ratio multiple reflects the spread between these metrics
The Sortino ratio is named after Frank A. Sortino and can be interpreted as the actual rate of return in excess of the investor target rate of return per unit of downside risk
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