PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
PDP vs. IJS
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PDP vs. IJS

Last updated Aug 1, 2026
Documentation

PDP (Invesco Dorsey Wright Momentum ETF) and IJS (iShares S&P SmallCap 600 Value ETF) are both exchange-traded funds - PDP is a Momentum fund tracking the Dorsey Wright Technical Leaders Index, while IJS is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Value Index. Both are passively managed. Over the past 10 years, PDP returned 12.35%/yr vs 10.17%/yr for IJS. Their 0.75 correlation means they have sometimes moved together and sometimes differently. PDP charges 0.62%/yr vs 0.25%/yr for IJS.

Performance

PDP vs. IJS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dorsey Wright Momentum ETF (PDP) and iShares S&P SmallCap 600 Value ETF (IJS). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, PDP achieves a 14.75% return, which is significantly lower than IJS's 20.25% return. Over the past 10 years, PDP has outperformed IJS with an annualized return of 12.35%, while IJS has yielded a comparatively lower 10.17% annualized return.

PDP

1D
0.32%
1M
-9.12%
6M
9.33%
YTD
14.75%
1Y
18.03%
3Y*
18.14%
5Y*
8.11%
10Y*
12.35%
ALL TIME*
9.66%

IJS

1D
0.09%
1M
0.38%
6M
12.92%
YTD
20.25%
1Y
39.43%
3Y*
12.47%
5Y*
7.91%
10Y*
10.17%
ALL TIME*
9.94%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

IJS

iShares S&P SmallCap 600 Value ETF
$28.19M$29.28M$50.29M

PDP

Invesco Dorsey Wright Momentum ETF
$3.96M$3.45M$3.85M

PDP vs. IJS - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
PDP
Invesco Dorsey Wright Momentum ETF		14.75%8.37%26.06%20.88%-24.49%7.72%36.59%33.13%-5.96%23.30%
IJS
iShares S&P SmallCap 600 Value ETF		20.25%6.54%7.33%14.68%-11.34%30.53%2.63%24.11%-12.86%11.35%

Correlation

The correlation between PDP and IJS is 0.56, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.56

Correlation (3Y)
Balances recent behavior with more history.

0.63

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.70

Correlation (10Y)
Provides a long-term view across more market conditions.

0.65

Correlation (All Time)
Calculated using the full available price history since Mar 1, 2007

0.75

The correlation between PDP and IJS shifts across timeframes, from 0.56 (1 year) to 0.75 (all time), reflecting how their relationship changes across market environments.

PDP vs. IJS - Sectors Allocation Comparison

Sectors
PDP
IJS

Technology

42.4%
13.4%

Industrials

25.6%
12.2%

Healthcare

8.4%
7.7%

Financial Services

6.3%
20.2%

Energy

5.1%
6.0%

Basic Materials

4.0%
6.2%

Consumer Cyclical

2.6%
15.2%

Consumer Defensive

1.4%
5.0%

Communication Services

1.2%
3.8%

Real Estate

0.7%
8.5%

Utilities

0.5%
2.0%

Technology

PDP
42.4%
IJS
13.4%

Industrials

PDP
25.6%
IJS
12.2%

Healthcare

PDP
8.4%
IJS
7.7%

Financial Services

PDP
6.3%
IJS
20.2%

Energy

PDP
5.1%
IJS
6.0%

Basic Materials

PDP
4.0%
IJS
6.2%

Consumer Cyclical

PDP
2.6%
IJS
15.2%

Consumer Defensive

PDP
1.4%
IJS
5.0%

Communication Services

PDP
1.2%
IJS
3.8%

Real Estate

PDP
0.7%
IJS
8.5%

Utilities

PDP
0.5%
IJS
2.0%

Compare stocks, funds, or ETFs

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

Invesco Dorsey Wright Momentum ETF

iShares S&P SmallCap 600 Value ETF

Often compared with PDP:
PDP vs. MTUMPDP vs. QQQPDP vs. SPYPDP vs. MMTMPDP vs. VOOPDP vs. BBUSPDP vs. RSP
Often compared with IJS:
IJS vs. IJRIJS vs. AVUVIJS vs. VBRIJS vs. VIOVIJS vs. IWNIJS vs. VOOIJS vs. ISCV

Return for Risk

PDP vs. IJS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
PDP
PDP Risk / Return Rank: 3131
Overall Rank
PDP Sharpe Ratio Rank: 2929
Sharpe Ratio Rank
PDP Sortino Ratio Rank: 2929
Sortino Ratio Rank
PDP Omega Ratio Rank: 2929
Omega Ratio Rank
PDP Calmar Ratio Rank: 3131
Calmar Ratio Rank
PDP Martin Ratio Rank: 3838
Martin Ratio Rank
IJS
IJS Risk / Return Rank: 8888
Overall Rank
IJS Sharpe Ratio Rank: 8888
Sharpe Ratio Rank
IJS Sortino Ratio Rank: 8989
Sortino Ratio Rank
IJS Omega Ratio Rank: 8585
Omega Ratio Rank
IJS Calmar Ratio Rank: 9191
Calmar Ratio Rank
IJS Martin Ratio Rank: 8989
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PDP vs. IJS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Momentum ETF (PDP) and iShares S&P SmallCap 600 Value ETF (IJS). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

PDPIJSDifference
Sharpe ratioReturn per unit of total volatility
0.70
2.09

-1.39

Sortino ratioReturn per unit of downside risk
1.10
3.02

-1.92

Omega ratioGain probability vs. loss probability

1.14

1.37

-0.23

Calmar ratioReturn relative to maximum drawdown

1.03

3.99

-2.96

Martin ratioReturn relative to average drawdown

4.02

13.67

-9.65

PDP vs. IJS - Sharpe Ratio Comparison

The current PDP Sharpe Ratio is 0.70, which is lower than the IJS Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of PDP and IJS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

PDP vs. IJS - Drawdown Comparison

The maximum PDP drawdown since its inception was -59.34%, roughly equal to the maximum IJS drawdown of -60.11%. Use the drawdown chart below to compare losses from any high point for PDP and IJS.

Loading charts...

Drawdown Indicators

PDPIJSDifference

Max Drawdown

Largest peak-to-trough decline

-59.34%

-60.11%

+0.77%

Max Drawdown (1Y)

Largest decline over 1 year

-17.58%

-9.28%

-8.30%

Max Drawdown (3Y)

Largest decline over 3 years

-23.79%

-28.65%

+4.86%

Max Drawdown (5Y)

Largest decline over 5 years

-33.91%

-28.65%

-5.26%

Max Drawdown (10Y)

Largest decline over 10 years

-34.70%

-47.68%

+12.98%

Current Drawdown

Current decline from peak

-12.80%

-1.56%

-11.24%

Average Drawdown

Average peak-to-trough decline

-10.57%

-9.84%

-0.73%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.51%

2.70%

+1.81%

Volatility

PDP vs. IJS - Volatility Comparison

Invesco Dorsey Wright Momentum ETF (PDP) has a higher volatility of 11.41% compared to iShares S&P SmallCap 600 Value ETF (IJS) at 3.53%. This indicates that PDP's price experiences larger fluctuations and is considered to be riskier than IJS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

PDPIJSDifference

Volatility (1M)

Calculated over the trailing 1-month period

11.41%

3.53%

+7.88%

Volatility (6M)

Calculated over the trailing 6-month period

21.23%

11.13%

+10.10%

Volatility (1Y)

Calculated over the trailing 1-year period

25.85%

17.74%

+8.11%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.80%

21.71%

+1.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.01%

23.54%

-1.53%

PDP vs. IJS - Expense Ratio Comparison

PDP has a 0.62% expense ratio, which is higher than IJS's 0.25% expense ratio.

Dividends

PDP vs. IJS - Dividend Comparison

PDP's dividend yield for the trailing twelve months is around 0.08%, less than IJS's 1.32% yield.

PositionTTM20252024202320222021202020192018201720162015
IJS
iShares S&P SmallCap 600 Value ETF		1.32%1.62%1.78%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%
PDP
Invesco Dorsey Wright Momentum ETF		0.08%0.17%0.15%0.42%0.45%0.00%0.11%0.25%0.18%0.28%0.81%0.39%

Frequently Asked Questions

PDP and IJS have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PDP has higher volatility (11.41%) compared to IJS (3.53%). In terms of maximum drawdown, PDP dropped -59.34% vs IJS's -60.11%.

On 10-year performance, PDP leads with 12.35% vs 10.17% for IJS. On fees, IJS is cheaper at 0.25% per year. On volatility, IJS has been the lower-risk option at 3.53%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, PDP has performed better with a 12.35% return vs 10.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IJS is cheaper with a 0.25% expense ratio, compared with 0.62% for PDP.

IJS has the higher dividend yield at 1.32%, compared with 0.08% for PDP.

PDP is categorized as Momentum, while IJS is Small Cap Value Equities. PDP tracks Dorsey Wright Technical Leaders Index, while IJS tracks S&P SmallCap 600 Value Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.62% for PDP and 0.25% for IJS.

IJS currently has the higher Sharpe Ratio (2.09 vs 0.70), 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.

Portfolio Optimizer

Find the right allocation for PDP and IJS

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer