PortfoliosLab logo
COMM vs. PTF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between COMM and PTF is 0.48, 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.


Performance

COMM vs. PTF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CommScope Holding Company, Inc. (COMM) and Invesco DWA Technology Momentum ETF (PTF). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

COMM:

3.28

PTF:

0.24

Sortino Ratio

COMM:

3.43

PTF:

0.60

Omega Ratio

COMM:

1.45

PTF:

1.08

Calmar Ratio

COMM:

4.01

PTF:

0.26

Martin Ratio

COMM:

16.70

PTF:

0.69

Ulcer Index

COMM:

23.39%

PTF:

13.66%

Daily Std Dev

COMM:

103.41%

PTF:

39.44%

Max Drawdown

COMM:

-97.81%

PTF:

-55.38%

Current Drawdown

COMM:

-87.86%

PTF:

-23.22%

Returns By Period

In the year-to-date period, COMM achieves a -7.49% return, which is significantly higher than PTF's -14.85% return. Over the past 10 years, COMM has underperformed PTF with an annualized return of -16.25%, while PTF has yielded a comparatively higher 16.28% annualized return.


COMM

YTD

-7.49%

1M

40.12%

6M

2.55%

1Y

359.05%

5Y*

-14.50%

10Y*

-16.25%

PTF

YTD

-14.85%

1M

12.52%

6M

-16.94%

1Y

7.95%

5Y*

16.63%

10Y*

16.28%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

COMM vs. PTF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

COMM
The Risk-Adjusted Performance Rank of COMM is 9797
Overall Rank
The Sharpe Ratio Rank of COMM is 9999
Sharpe Ratio Rank
The Sortino Ratio Rank of COMM is 9696
Sortino Ratio Rank
The Omega Ratio Rank of COMM is 9595
Omega Ratio Rank
The Calmar Ratio Rank of COMM is 9898
Calmar Ratio Rank
The Martin Ratio Rank of COMM is 9898
Martin Ratio Rank

PTF
The Risk-Adjusted Performance Rank of PTF is 3939
Overall Rank
The Sharpe Ratio Rank of PTF is 3535
Sharpe Ratio Rank
The Sortino Ratio Rank of PTF is 4444
Sortino Ratio Rank
The Omega Ratio Rank of PTF is 4141
Omega Ratio Rank
The Calmar Ratio Rank of PTF is 4242
Calmar Ratio Rank
The Martin Ratio Rank of PTF is 3434
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

COMM vs. PTF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CommScope Holding Company, Inc. (COMM) and Invesco DWA Technology Momentum ETF (PTF). 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.


The current COMM Sharpe Ratio is 3.28, which is higher than the PTF Sharpe Ratio of 0.24. The chart below compares the historical Sharpe Ratios of COMM and PTF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Loading data...

Dividends

COMM vs. PTF - Dividend Comparison

COMM has not paid dividends to shareholders, while PTF's dividend yield for the trailing twelve months is around 0.24%.


TTM20242023202220212020201920182017201620152014
COMM
CommScope Holding Company, Inc.
0.00%0.00%0.00%0.00%0.00%2.09%2.54%1.49%0.00%0.00%0.00%0.00%
PTF
Invesco DWA Technology Momentum ETF
0.24%0.00%0.07%0.00%0.00%0.00%0.00%0.08%0.04%0.26%0.00%0.68%

Drawdowns

COMM vs. PTF - Drawdown Comparison

The maximum COMM drawdown since its inception was -97.81%, which is greater than PTF's maximum drawdown of -55.38%. Use the drawdown chart below to compare losses from any high point for COMM and PTF. For additional features, visit the drawdowns tool.


Loading data...

Volatility

COMM vs. PTF - Volatility Comparison

CommScope Holding Company, Inc. (COMM) has a higher volatility of 32.87% compared to Invesco DWA Technology Momentum ETF (PTF) at 8.59%. This indicates that COMM's price experiences larger fluctuations and is considered to be riskier than PTF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...