FGSM vs. PRFZ

Last updated Jun 5, 2026

FGSM (Frontier Asset Global Small Cap Equity ETF) and PRFZ (Invesco FTSE RAFI US 1500 Small-Mid ETF) are both exchange-traded funds - FGSM is a Global Equities fund actively managed by Frontier, while PRFZ is a Small Cap Blend Equities fund tracking the FTSE RAFI US 1500 Small-Mid Index. FGSM is actively managed, while PRFZ is passively managed. Over the past year, FGSM returned 33.31% vs 33.75% for PRFZ. Their correlation of 0.93 suggests significant overlap in exposure. FGSM charges 0.90%/yr vs 0.39%/yr for PRFZ.

Performance

FGSM vs. PRFZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Frontier Asset Global Small Cap Equity ETF (FGSM) and Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with FGSM having a 15.03% return and PRFZ slightly lower at 14.34%.

FGSM

• 1D: 0.91%
• 1M: 2.18%
• YTD: 15.03%
• 6M: 15.76%
• 1Y: 33.31%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PRFZ

• 1D: 1.41%
• 1M: 2.17%
• YTD: 14.34%
• 6M: 12.56%
• 1Y: 33.75%
• 3Y*: 18.49%
• 5Y*: 8.23%
• 10Y*: 11.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FGSM vs. PRFZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
FGSM Frontier Asset Global Small Cap Equity ETF	15.03%	21.33%	0.24%
PRFZ Invesco FTSE RAFI US 1500 Small-Mid ETF	14.34%	11.26%	-0.55%

Correlation

The correlation between FGSM and PRFZ is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (All Time) Calculated using the full available price history since Dec 23, 2024	0.93

The correlation between FGSM and PRFZ has been stable across timeframes, ranging from 0.93 to 0.93 - a consistent structural relationship.

Return for Risk

FGSM vs. PRFZ — Risk / Return Rank

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

FGSM

FGSM Risk / Return Rank: 70
FGSM Sharpe Ratio Rank: 70
FGSM Sortino Ratio Rank: 72
FGSM Omega Ratio Rank: 67
FGSM Calmar Ratio Rank: 70
FGSM Martin Ratio Rank: 72

PRFZ

PRFZ Risk / Return Rank: 59
PRFZ Sharpe Ratio Rank: 57
PRFZ Sortino Ratio Rank: 58
PRFZ Omega Ratio Rank: 52
PRFZ Calmar Ratio Rank: 67
PRFZ Martin Ratio Rank: 63

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FGSM vs. PRFZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Frontier Asset Global Small Cap Equity ETF (FGSM) and Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ). 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.

	FGSM	PRFZ	Difference
Sharpe ratio: Return per unit of total volatility	2.26	1.89	+0.37
Sortino ratio: Return per unit of downside risk	3.19	2.71	+0.48
Omega ratio: Gain probability vs. loss probability	1.40	1.32	+0.08
Calmar ratio: Return relative to maximum drawdown	3.40	3.27	+0.13
Martin ratio: Return relative to average drawdown	13.20	11.25	+1.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FGSM vs. PRFZ - Sharpe Ratio Comparison

The current FGSM Sharpe Ratio is 2.26, which is comparable to the PRFZ Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of FGSM and PRFZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FGSM	PRFZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.26	1.89	+0.37
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.39	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.48	0.41	+1.07

Drawdowns

FGSM vs. PRFZ - Drawdown Comparison

The maximum FGSM drawdown since its inception was -17.72%, smaller than the maximum PRFZ drawdown of -62.41%. Use the drawdown chart below to compare losses from any high point for FGSM and PRFZ.

Drawdown Indicators

	FGSM	PRFZ	Difference
Max Drawdown Largest peak-to-trough decline	-17.72%	-62.41%	+44.69%
Max Drawdown (1Y) Largest decline over 1 year	-9.84%	-10.38%	+0.54%
Max Drawdown (3Y) Largest decline over 3 years	—	-26.54%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-26.58%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-44.28%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-2.21%	-9.42%	+7.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.53%	3.01%	-0.48%

Volatility

FGSM vs. PRFZ - Volatility Comparison

The current volatility for Frontier Asset Global Small Cap Equity ETF (FGSM) is 4.18%, while Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ) has a volatility of 4.50%. This indicates that FGSM experiences smaller price fluctuations and is considered to be less risky than PRFZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGSM	PRFZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.18%	4.50%	-0.32%
Volatility (6M) Calculated over the trailing 6-month period	11.05%	12.39%	-1.34%
Volatility (1Y) Calculated over the trailing 1-year period	14.81%	17.90%	-3.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.80%	21.32%	-3.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.80%	22.44%	-4.64%

FGSM vs. PRFZ - Expense Ratio Comparison

FGSM has a 0.90% expense ratio, which is higher than PRFZ's 0.39% expense ratio.

Dividends

FGSM vs. PRFZ - Dividend Comparison

FGSM's dividend yield for the trailing twelve months is around 1.35%, more than PRFZ's 0.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FGSM Frontier Asset Global Small Cap Equity ETF	1.35%	1.56%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PRFZ Invesco FTSE RAFI US 1500 Small-Mid ETF	0.83%	0.82%	1.45%	1.42%	1.33%	0.93%	0.91%	1.29%	1.37%	0.97%	1.31%	1.39%

Frequently Asked Questions

Can I hold both FGSM and PRFZ in my portfolio?

With a correlation of 0.93, FGSM and PRFZ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, FGSM or PRFZ?

PRFZ has higher volatility (4.50%) compared to FGSM (4.18%). In terms of maximum drawdown, FGSM dropped -17.72% vs PRFZ's -62.41%.

Which ETF is better, FGSM or PRFZ?

On 1-year performance, PRFZ leads with 33.75% vs 33.31% for FGSM. On fees, PRFZ is cheaper at 0.39% per year. On volatility, FGSM has been the lower-risk option at 4.18%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FGSM or PRFZ?

Over the 1-year period, PRFZ has performed better with a 33.75% return vs 33.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FGSM or PRFZ?

PRFZ is cheaper with a 0.39% expense ratio, compared with 0.90% for FGSM.

Which ETF pays a higher dividend yield, FGSM or PRFZ?

FGSM has the higher dividend yield at 1.35%, compared with 0.83% for PRFZ.

What is the main difference between FGSM and PRFZ?

FGSM is categorized as Global Equities, while PRFZ is Small Cap Blend Equities. They also come from different issuers: Frontier and Invesco. Their fees differ too: 0.90% for FGSM and 0.39% for PRFZ.

Which has better risk-adjusted returns?

FGSM currently has the higher Sharpe Ratio (2.26 vs 1.89), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.