PEZ's Sortino Ratio of 0.64 indicates that for each unit of downside volatility, it generates 0.64 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 24, 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.
PEZ Sortino Ratio Rank
PEZ ranks above 13.5% of all investments in our database based on Sortino Ratio over the past 12 months, indicating weak 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
- Weak downside-adjusted returns relative to category peers
- Evaluate whether this holding aligns with your risk-return objectives
- Consider reducing exposure or implementing downside hedges
- Review higher-ranked alternatives in the same category
PEZ Sortino Ratio Market Positioning
The chart shows PEZ'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%): 1.29 or lower
- Yellow zone (middle 50%): 1.29 to 3.01
- Green zone (top 25%): 3.01 or higher
- Top 1%: 14.11+
- Median: 2.25 — half of all investments score higher
How it compares to other similar ETFs
The table compares Invesco DWA Consumer Cyclicals Momentum ETF's Sortino Ratio with other ETFs in the Momentum, Consumer Discretionary Equities category across multiple time periods, showing how PEZ'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 Jun 24, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| ULVM | VictoryShares US Value Momentum ETF | 3.75 | |||
| CARZ | First Trust NASDAQ Global Auto Index Fund | 3.72 | |||
| SPVM | Invesco S&P 500 Value with Momentum ETF | 3.60 | |||
| QQQA | ProShares Nasdaq-100 Dorsey Wright Momentum ETF | 3.31 | |||
| USVM | VictoryShares US Small Mid Cap Value Momentum ETF | 3.18 | |||
| PIE | Invesco DWA Emerging Markets Momentum ETF | 3.10 | |||
| FMTM | MarketDesk Focused U.S. Momentum ETF | 3.09 | |||
| DVLU | First Trust Dorsey Wright Momentum & Value ETF | 3.06 | |||
| JMOM | JPMorgan U.S. Momentum Factor ETF | 2.95 | |||
| XSVM | Invesco S&P SmallCap Value with Momentum ETF | 2.93 | |||
| PEZ | Invesco DWA Consumer Cyclicals Momentum ETF | 0.64 |
Historical Sortino Ratio
The chart shows PEZ'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 PEZ consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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