Invesco Mortgage Capital Inc. (IVR) Sortino Ratio: 1.49
IVR's Sortino Ratio of 1.49 indicates that for each unit of downside volatility, it generates 1.49 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 1, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
IVR Sortino Ratio Rank
IVR ranks above 69.2% of all investments in our database based on Sortino Ratio over the past 12 months, indicating above-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Above-average downside protection with room for improvement
- Compare against category peers to gauge relative positioning
- Monitor for movement toward top tier or decline toward median
- Consider pairing with top-tier holdings to improve portfolio risk profile
IVR Sortino Ratio Market Positioning
The chart shows IVR's Sortino Ratio relative to all stocks on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): -0.17 or lower
- Yellow zone (middle 50%): -0.17 to 1.88
- Green zone (top 25%): 1.88 or higher
- Top 1%: 5.66+
- Median: 0.83 — half of all investments score higher
How it compares to other similar stocks
The table compares Invesco Mortgage Capital Inc.'s Sortino Ratio with other stocks in the REIT - Mortgage industry across multiple time periods, showing how IVR's risk-adjusted performance compares to industry peers.
Data shows 1-, 5-, and 10-year periods, plus each stock's all-time average, as of Apr 1, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| NYMTM | New York Mortgage Trust, Inc. | 2.15 | |||
| NYMTL | New York Mortgage Trust, Inc. | 2.09 | |||
| AOMN | Angel Oak Mortgage REIT, Inc. 9.500% Senior Notes due 2029 | 1.59 | |||
| IVR | Invesco Mortgage Capital Inc. | 1.49 | |||
| ARI | Apollo Commercial Real Estate Finance, Inc. | 1.44 | |||
| ADAM | Adamas Trust, Inc | 1.30 | |||
| AGNC | AGNC Investment Corp. | 1.29 | |||
| AGNCN | AGNC Investment Corp. | 1.26 | |||
| NLY | Annaly Capital Management, Inc. | 1.22 | |||
| NYMTN | New York Mortgage Trust, Inc. | 1.11 |
Historical Sortino Ratio
The chart shows IVR's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when IVR consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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Explore IVR risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.