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DSTX vs. PIZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DSTX and PIZ is 0.69, 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

DSTX vs. PIZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Distillate International Fundamental Stability & Value ETF (DSTX) and Invesco DWA Developed Markets Momentum ETF (PIZ). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DSTX:

0.61

PIZ:

1.15

Sortino Ratio

DSTX:

1.06

PIZ:

1.72

Omega Ratio

DSTX:

1.14

PIZ:

1.24

Calmar Ratio

DSTX:

0.87

PIZ:

1.47

Martin Ratio

DSTX:

2.18

PIZ:

7.04

Ulcer Index

DSTX:

5.30%

PIZ:

3.46%

Daily Std Dev

DSTX:

17.65%

PIZ:

20.97%

Max Drawdown

DSTX:

-34.02%

PIZ:

-60.61%

Current Drawdown

DSTX:

0.00%

PIZ:

-0.82%

Returns By Period

The year-to-date returns for both investments are quite close, with DSTX having a 15.95% return and PIZ slightly higher at 16.49%.


DSTX

YTD

15.95%

1M

8.85%

6M

13.45%

1Y

10.74%

5Y*

N/A

10Y*

N/A

PIZ

YTD

16.49%

1M

9.43%

6M

13.67%

1Y

23.86%

5Y*

13.00%

10Y*

6.23%

*Annualized

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DSTX vs. PIZ - Expense Ratio Comparison

DSTX has a 0.55% expense ratio, which is lower than PIZ's 0.80% expense ratio.


Risk-Adjusted Performance

DSTX vs. PIZ — Risk-Adjusted Performance Rank

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

DSTX
The Risk-Adjusted Performance Rank of DSTX is 6262
Overall Rank
The Sharpe Ratio Rank of DSTX is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of DSTX is 6363
Sortino Ratio Rank
The Omega Ratio Rank of DSTX is 5959
Omega Ratio Rank
The Calmar Ratio Rank of DSTX is 7575
Calmar Ratio Rank
The Martin Ratio Rank of DSTX is 5757
Martin Ratio Rank

PIZ
The Risk-Adjusted Performance Rank of PIZ is 8686
Overall Rank
The Sharpe Ratio Rank of PIZ is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of PIZ is 8585
Sortino Ratio Rank
The Omega Ratio Rank of PIZ is 8484
Omega Ratio Rank
The Calmar Ratio Rank of PIZ is 8888
Calmar Ratio Rank
The Martin Ratio Rank of PIZ is 8888
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.

DSTX vs. PIZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Distillate International Fundamental Stability & Value ETF (DSTX) and Invesco DWA Developed Markets Momentum ETF (PIZ). 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 DSTX Sharpe Ratio is 0.61, which is lower than the PIZ Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of DSTX and PIZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DSTX vs. PIZ - Dividend Comparison

DSTX's dividend yield for the trailing twelve months is around 2.24%, more than PIZ's 1.59% yield.


TTM20242023202220212020201920182017201620152014
DSTX
Distillate International Fundamental Stability & Value ETF
2.24%2.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PIZ
Invesco DWA Developed Markets Momentum ETF
1.59%1.68%1.86%2.04%1.00%0.37%1.58%1.05%1.30%2.21%1.09%1.61%

Drawdowns

DSTX vs. PIZ - Drawdown Comparison

The maximum DSTX drawdown since its inception was -34.02%, smaller than the maximum PIZ drawdown of -60.61%. Use the drawdown chart below to compare losses from any high point for DSTX and PIZ. For additional features, visit the drawdowns tool.


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Volatility

DSTX vs. PIZ - Volatility Comparison

The current volatility for Distillate International Fundamental Stability & Value ETF (DSTX) is 3.35%, while Invesco DWA Developed Markets Momentum ETF (PIZ) has a volatility of 3.66%. This indicates that DSTX experiences smaller price fluctuations and is considered to be less risky than PIZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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