PFI vs. KO
PFI (Invesco Dorsey Wright Financial Momentum ETF) is Momentum fund tracking the Dorsey Wright Financials Technical Leaders Index, while KO (The Coca-Cola Company) is a stock. Over the past 10 years, PFI returned 9.22%/yr vs 9.59%/yr for KO. At a 0.38 correlation, their price movements are largely independent.
Performance
PFI vs. KO - Performance Comparison
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Returns By Period
In the year-to-date period, PFI achieves a 7.04% return, which is significantly lower than KO's 16.41% return. Both investments have delivered pretty close results over the past 10 years, with PFI having a 9.22% annualized return and KO not far ahead at 9.59%.
PFI
- 1D
- 0.56%
- 1M
- 4.63%
- YTD
- 7.04%
- 6M
- 4.43%
- 1Y
- 12.22%
- 3Y*
- 16.97%
- 5Y*
- 5.43%
- 10Y*
- 9.22%
KO
- 1D
- 0.98%
- 1M
- -0.80%
- YTD
- 16.41%
- 6M
- 16.48%
- 1Y
- 18.42%
- 3Y*
- 12.75%
- 5Y*
- 11.35%
- 10Y*
- 9.59%
PFI vs. KO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PFI Invesco Dorsey Wright Financial Momentum ETF | 7.04% | 1.98% | 30.58% | 12.58% | -24.09% | 28.70% | 13.85% | 36.54% | -17.18% | 15.00% |
KO The Coca-Cola Company | 16.41% | 15.60% | 8.88% | -4.43% | 10.61% | 11.37% | 2.47% | 20.60% | 6.77% | 14.38% |
Correlation
The correlation between PFI and KO is -0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.29 |
Correlation (All Time) Calculated using the full available price history since Oct 12, 2006 | 0.38 |
The correlation between PFI and KO shifts across timeframes, from -0.08 (1 year) to 0.38 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PFI vs. KO — Risk / Return Rank
PFI
KO
PFI vs. KO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Financial Momentum ETF (PFI) and The Coca-Cola Company (KO). 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.
| PFI | KO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.45 | ||
| Sortino ratioReturn per unit of downside risk | -0.81 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.20 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 0.89 | 2.35 | -1.47 |
| Martin ratioReturn relative to average drawdown | 2.65 | 4.67 | -2.02 |
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Drawdowns
PFI vs. KO - Drawdown Comparison
The maximum PFI drawdown since its inception was -59.53%, smaller than the maximum KO drawdown of -68.23%. Use the drawdown chart below to compare losses from any high point for PFI and KO.
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Drawdown Indicators
| PFI | KO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.53% | -68.23% | +8.70% |
Max Drawdown (1Y)Largest decline over 1 year | -13.86% | -7.87% | -5.99% |
Max Drawdown (3Y)Largest decline over 3 years | -24.82% | -16.26% | -8.56% |
Max Drawdown (5Y)Largest decline over 5 years | -35.43% | -17.27% | -18.16% |
Max Drawdown (10Y)Largest decline over 10 years | -43.09% | -36.99% | -6.10% |
Current DrawdownCurrent decline from peak | -1.04% | -3.30% | +2.26% |
Average DrawdownAverage peak-to-trough decline | -14.47% | -16.08% | +1.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.62% | 3.95% | +0.67% |
Volatility
PFI vs. KO - Volatility Comparison
The current volatility for Invesco Dorsey Wright Financial Momentum ETF (PFI) is 4.05%, while The Coca-Cola Company (KO) has a volatility of 6.94%. This indicates that PFI experiences smaller price fluctuations and is considered to be less risky than KO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PFI | KO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 6.94% | -2.89% |
Volatility (6M)Calculated over the trailing 6-month period | 13.70% | 12.74% | +0.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.77% | 16.74% | +2.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.84% | 16.16% | +5.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.26% | 18.23% | +4.03% |
Dividends
PFI vs. KO - Dividend Comparison
PFI's dividend yield for the trailing twelve months is around 1.00%, less than KO's 2.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KO The Coca-Cola Company | 2.59% | 2.92% | 3.12% | 3.12% | 2.77% | 2.84% | 2.99% | 2.89% | 3.29% | 3.23% | 3.38% | 3.07% |
PFI Invesco Dorsey Wright Financial Momentum ETF | 1.00% | 0.68% | 2.77% | 1.85% | 1.93% | 1.28% | 1.56% | 0.92% | 1.98% | 0.35% | 2.16% | 1.44% |
Frequently Asked Questions
PFI and KO have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KO has higher volatility (6.94%) compared to PFI (4.05%). In terms of maximum drawdown, PFI dropped -59.53% vs KO's -68.23%.
KO currently has the higher Sharpe Ratio (1.11 vs 0.66), 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.
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