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CGW vs. PHO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGWPHO
YTD Return10.13%16.83%
1Y Return24.22%34.06%
3Y Return (Ann)0.25%6.51%
5Y Return (Ann)10.04%14.65%
10Y Return (Ann)9.29%11.12%
Sharpe Ratio1.712.24
Sortino Ratio2.523.17
Omega Ratio1.301.38
Calmar Ratio1.222.88
Martin Ratio8.3712.50
Ulcer Index2.93%2.73%
Daily Std Dev14.34%15.20%
Max Drawdown-57.24%-55.62%
Current Drawdown-4.61%-1.69%

Correlation

-0.50.00.51.00.8

The correlation between CGW and PHO is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CGW vs. PHO - Performance Comparison

In the year-to-date period, CGW achieves a 10.13% return, which is significantly lower than PHO's 16.83% return. Over the past 10 years, CGW has underperformed PHO with an annualized return of 9.29%, while PHO has yielded a comparatively higher 11.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-0.71%
4.15%
CGW
PHO

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CGW vs. PHO - Expense Ratio Comparison

CGW has a 0.57% expense ratio, which is lower than PHO's 0.60% expense ratio.


PHO
Invesco Water Resources ETF
Expense ratio chart for PHO: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for CGW: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%

Risk-Adjusted Performance

CGW vs. PHO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and Invesco Water Resources ETF (PHO). 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.


CGW
Sharpe ratio
The chart of Sharpe ratio for CGW, currently valued at 1.71, compared to the broader market-2.000.002.004.006.001.71
Sortino ratio
The chart of Sortino ratio for CGW, currently valued at 2.52, compared to the broader market-2.000.002.004.006.008.0010.0012.002.52
Omega ratio
The chart of Omega ratio for CGW, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for CGW, currently valued at 1.22, compared to the broader market0.005.0010.0015.001.22
Martin ratio
The chart of Martin ratio for CGW, currently valued at 8.37, compared to the broader market0.0020.0040.0060.0080.00100.008.37
PHO
Sharpe ratio
The chart of Sharpe ratio for PHO, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for PHO, currently valued at 3.17, compared to the broader market-2.000.002.004.006.008.0010.0012.003.17
Omega ratio
The chart of Omega ratio for PHO, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for PHO, currently valued at 2.88, compared to the broader market0.005.0010.0015.002.88
Martin ratio
The chart of Martin ratio for PHO, currently valued at 12.50, compared to the broader market0.0020.0040.0060.0080.00100.0012.50

CGW vs. PHO - Sharpe Ratio Comparison

The current CGW Sharpe Ratio is 1.71, which is comparable to the PHO Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of CGW and PHO, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.71
2.24
CGW
PHO

Dividends

CGW vs. PHO - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.41%, more than PHO's 0.45% yield.


TTM20232022202120202019201820172016201520142013
CGW
Invesco S&P Global Water Index ETF
1.41%1.55%1.45%1.59%1.41%1.48%2.14%1.71%1.65%1.67%1.77%1.52%
PHO
Invesco Water Resources ETF
0.45%0.59%0.49%0.20%0.39%0.43%0.46%0.34%0.47%0.75%0.59%0.49%

Drawdowns

CGW vs. PHO - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, roughly equal to the maximum PHO drawdown of -55.62%. Use the drawdown chart below to compare losses from any high point for CGW and PHO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.61%
-1.69%
CGW
PHO

Volatility

CGW vs. PHO - Volatility Comparison

Invesco S&P Global Water Index ETF (CGW) and Invesco Water Resources ETF (PHO) have volatilities of 4.00% and 4.19%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
4.19%
CGW
PHO