PFM's Sortino Ratio of 2.61 indicates that for each unit of downside volatility, it generates 2.61 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 25, 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.
PFM Sortino Ratio Rank
PFM ranks above 63.7% 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
PFM Sortino Ratio Market Positioning
The chart shows PFM'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%): 1.27 or lower
- Yellow zone (middle 50%): 1.27 to 2.90
- Green zone (top 25%): 2.90 or higher
- Top 1%: 15.02+
- Median: 2.15 — half of all investments score higher
How it compares to other similar ETFs
The table compares Invesco Dividend Achievers™ ETF's Sortino Ratio with other ETFs in the Large Cap Growth Equities, Dividend category across multiple time periods, showing how PFM'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 25, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| LVHI | Franklin International Low Volatility High Dividend Index ETF | 4.50 | |||
| INCE | Franklin Income Equity Focus ETF | 3.99 | |||
| DJD | Invesco Dow Jones Industrial Average Dividend ETF | 3.53 | |||
| DEW | WisdomTree Global High Dividend Fund | 3.52 | |||
| ALTY | Global X Alternative Income ETF | 3.41 | |||
| MFUS | PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 3.40 | |||
| DGRO | iShares Core Dividend Growth ETF | 3.32 | |||
| DLN | WisdomTree U.S. LargeCap Dividend Fund | 3.26 | |||
| DIVB | iShares Core Dividend ETF | 3.25 | |||
| ROUS | Hartford Multifactor US Equity ETF | 3.22 | |||
| PFM | Invesco Dividend Achievers™ ETF | 2.61 |
Historical Sortino Ratio
The chart shows PFM'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 PFM consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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IHow does PFM fit in your portfolio?
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