Invesco MSCI North America Climate ETF (KLMN) Sortino Ratio: 3.67
KLMN's Sortino Ratio of 3.67 indicates that for each unit of downside volatility, it generates 3.67 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 17, 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.
KLMN Sortino Ratio Rank
KLMN ranks above 72.3% 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
KLMN Sortino Ratio Market Positioning
The chart shows KLMN's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.82 or lower
- Yellow zone (middle 50%): 1.82 to 3.77
- Green zone (top 25%): 3.77 or higher
- Top 1%: 12.74+
- Median: 2.92 — half of all investments score higher
How it compares to other similar ETFs
The table compares Invesco MSCI North America Climate ETF's Sortino Ratio with other ETFs in the Large Cap Blend Equities, ESG category across multiple time periods, showing how KLMN's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 17, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| PULT | Putnam ESG Ultra Short ETF | 17.28 | |||
| DMAY | FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 5.85 | |||
| UJUN | Innovator U.S. Equity Ultra Buffer ETF - June | 5.54 | |||
| FMAY | FT Cboe Vest U.S. Equity Buffer ETF - May | 5.22 | |||
| DJUN | FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 4.96 | |||
| PSCX | Pacer Swan SOS Conservative (December) ETF | 4.91 | |||
| BLCR | Blackrock Large Cap Core ETF | 4.83 | |||
| RSSY | Return Stacked US Stocks & Futures Yield ETF | 4.79 | |||
| PSMD | Pacer Swan SOS Moderate (December) ETF | 4.73 | |||
| FJUN | FT Cboe Vest U.S. Equity Buffer ETF - June | 4.66 | |||
| KLMN | Invesco MSCI North America Climate ETF | 3.67 |
Historical Sortino Ratio
The chart shows KLMN'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 KLMN consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
Loading graphics...
Explore KLMN risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.