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CBSE vs. SPMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CBSE and SPMO is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

CBSE vs. SPMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Changebridge Capital Sustainable Equity ETF (CBSE) and Invesco S&P 500® Momentum ETF (SPMO). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
66.80%
96.60%
CBSE
SPMO

Key characteristics

Sharpe Ratio

CBSE:

1.93

SPMO:

2.72

Sortino Ratio

CBSE:

2.52

SPMO:

3.54

Omega Ratio

CBSE:

1.33

SPMO:

1.48

Calmar Ratio

CBSE:

1.74

SPMO:

3.76

Martin Ratio

CBSE:

8.15

SPMO:

15.40

Ulcer Index

CBSE:

4.48%

SPMO:

3.21%

Daily Std Dev

CBSE:

18.92%

SPMO:

18.17%

Max Drawdown

CBSE:

-36.30%

SPMO:

-30.95%

Current Drawdown

CBSE:

-4.73%

SPMO:

-3.16%

Returns By Period

In the year-to-date period, CBSE achieves a 32.63% return, which is significantly lower than SPMO's 46.40% return.


CBSE

YTD

32.63%

1M

0.43%

6M

10.66%

1Y

34.15%

5Y*

N/A

10Y*

N/A

SPMO

YTD

46.40%

1M

0.06%

6M

9.58%

1Y

47.42%

5Y*

19.45%

10Y*

N/A

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CBSE vs. SPMO - Expense Ratio Comparison

CBSE has a 0.85% expense ratio, which is higher than SPMO's 0.13% expense ratio.


CBSE
Changebridge Capital Sustainable Equity ETF
Expense ratio chart for CBSE: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

CBSE vs. SPMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Changebridge Capital Sustainable Equity ETF (CBSE) and Invesco S&P 500® Momentum ETF (SPMO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for CBSE, currently valued at 1.93, compared to the broader market0.002.004.001.932.72
The chart of Sortino ratio for CBSE, currently valued at 2.52, compared to the broader market-2.000.002.004.006.008.0010.002.523.54
The chart of Omega ratio for CBSE, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.48
The chart of Calmar ratio for CBSE, currently valued at 1.74, compared to the broader market0.005.0010.0015.001.743.76
The chart of Martin ratio for CBSE, currently valued at 8.15, compared to the broader market0.0020.0040.0060.0080.00100.008.1515.40
CBSE
SPMO

The current CBSE Sharpe Ratio is 1.93, which is comparable to the SPMO Sharpe Ratio of 2.72. The chart below compares the historical Sharpe Ratios of CBSE and SPMO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.93
2.72
CBSE
SPMO

Dividends

CBSE vs. SPMO - Dividend Comparison

CBSE has not paid dividends to shareholders, while SPMO's dividend yield for the trailing twelve months is around 0.28%.


TTM202320222021202020192018201720162015
CBSE
Changebridge Capital Sustainable Equity ETF
0.00%1.50%0.52%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF
0.28%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%

Drawdowns

CBSE vs. SPMO - Drawdown Comparison

The maximum CBSE drawdown since its inception was -36.30%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for CBSE and SPMO. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.73%
-3.16%
CBSE
SPMO

Volatility

CBSE vs. SPMO - Volatility Comparison

Changebridge Capital Sustainable Equity ETF (CBSE) has a higher volatility of 6.89% compared to Invesco S&P 500® Momentum ETF (SPMO) at 5.12%. This indicates that CBSE's price experiences larger fluctuations and is considered to be riskier than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
6.89%
5.12%
CBSE
SPMO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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