PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PFI vs. KMB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PFI and KMB is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

PFI vs. KMB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Financial Momentum ETF (PFI) and Kimberly-Clark Corporation (KMB). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
19.15%
-4.29%
PFI
KMB

Key characteristics

Sharpe Ratio

PFI:

1.59

KMB:

0.78

Sortino Ratio

PFI:

2.28

KMB:

1.14

Omega Ratio

PFI:

1.29

KMB:

1.17

Calmar Ratio

PFI:

1.29

KMB:

0.82

Martin Ratio

PFI:

10.22

KMB:

3.31

Ulcer Index

PFI:

3.08%

KMB:

4.25%

Daily Std Dev

PFI:

19.76%

KMB:

17.97%

Max Drawdown

PFI:

-59.53%

KMB:

-39.69%

Current Drawdown

PFI:

-9.60%

KMB:

-9.90%

Returns By Period

In the year-to-date period, PFI achieves a 30.20% return, which is significantly higher than KMB's 12.13% return. Over the past 10 years, PFI has outperformed KMB with an annualized return of 8.07%, while KMB has yielded a comparatively lower 4.49% annualized return.


PFI

YTD

30.20%

1M

-8.64%

6M

19.14%

1Y

31.06%

5Y*

10.37%

10Y*

8.07%

KMB

YTD

12.13%

1M

-4.20%

6M

-4.29%

1Y

13.34%

5Y*

2.62%

10Y*

4.49%

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

PFI vs. KMB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Financial Momentum ETF (PFI) and Kimberly-Clark Corporation (KMB). 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.


Sharpe ratio
The chart of Sharpe ratio for PFI, currently valued at 1.59, compared to the broader market0.002.004.001.590.78
The chart of Sortino ratio for PFI, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.002.281.14
The chart of Omega ratio for PFI, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.17
The chart of Calmar ratio for PFI, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.290.82
The chart of Martin ratio for PFI, currently valued at 10.22, compared to the broader market0.0020.0040.0060.0080.00100.0010.223.31
PFI
KMB

The current PFI Sharpe Ratio is 1.59, which is higher than the KMB Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of PFI and KMB, 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.59
0.78
PFI
KMB

Dividends

PFI vs. KMB - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 2.78%, less than KMB's 3.71% yield.


TTM20232022202120202019201820172016201520142013
PFI
Invesco DWA Financial Momentum ETF
2.78%1.85%1.93%1.28%1.56%0.92%1.98%0.35%2.16%1.44%1.10%1.36%
KMB
Kimberly-Clark Corporation
3.71%3.88%3.42%3.19%3.17%3.00%3.51%3.22%3.22%2.77%0.73%0.00%

Drawdowns

PFI vs. KMB - Drawdown Comparison

The maximum PFI drawdown since its inception was -59.53%, which is greater than KMB's maximum drawdown of -39.69%. Use the drawdown chart below to compare losses from any high point for PFI and KMB. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.60%
-9.90%
PFI
KMB

Volatility

PFI vs. KMB - Volatility Comparison

Invesco DWA Financial Momentum ETF (PFI) has a higher volatility of 6.38% compared to Kimberly-Clark Corporation (KMB) at 3.99%. This indicates that PFI's price experiences larger fluctuations and is considered to be riskier than KMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.38%
3.99%
PFI
KMB
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab