PFI vs. KO

Last updated Aug 4, 2026

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 9.11%/yr vs 10.56%/yr for KO. Their 0.38 correlation means their historical movements had little consistent relationship.

Performance

PFI vs. KO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dorsey Wright Financial Momentum ETF (PFI) and The Coca-Cola Company (KO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PFI achieves a 10.59% return, which is significantly lower than KO's 25.91% return. Over the past 10 years, PFI has underperformed KO with an annualized return of 9.11%, while KO has yielded a comparatively higher 10.56% annualized return.

PFI

• 1D: 1.27%
• 1M: 3.00%
• 6M: 9.38%
• YTD: 10.59%
• 1Y: 16.89%
• 3Y*: 14.10%
• 5Y*: 6.23%
• 10Y*: 9.11%
• ALL TIME*: 6.34%

KO

• 1D: -0.83%
• 1M: 3.23%
• 6M: 16.85%
• YTD: 25.91%
• 1Y: 29.71%
• 3Y*: 16.05%
• 5Y*: 12.41%
• 10Y*: 10.56%
• ALL TIME*: 12.25%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
KO The Coca-Cola Company	$1.57B	$1.49B	$1.47B
PFI Invesco Dorsey Wright Financial Momentum ETF	$678.29K	$1.66M	$620.79K

PFI vs. KO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PFI Invesco Dorsey Wright Financial Momentum ETF	10.59%	1.98%	30.58%	12.58%	-24.09%	28.70%	13.85%	36.54%	-17.18%	15.00%
KO The Coca-Cola Company	25.91%	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 -0.12, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.12
Correlation (3Y) Balances recent behavior with more history.	0.06
Correlation (5Y) Shows whether the relationship held over a longer period.	0.21
Correlation (10Y) Provides a long-term view across more market conditions.	0.28
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 -0.12 (1 year) to 0.38 (all time), reflecting how their relationship changes across market environments.

Return for Risk

PFI vs. KO — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PFI

PFI Risk / Return Rank: 35
PFI Sharpe Ratio Rank: 35
PFI Sortino Ratio Rank: 33
PFI Omega Ratio Rank: 33
PFI Calmar Ratio Rank: 35
PFI Martin Ratio Rank: 36

KO

KO Risk / Return Rank: 87
KO Sharpe Ratio Rank: 87
KO Sortino Ratio Rank: 87
KO Omega Ratio Rank: 83
KO Calmar Ratio Rank: 91
KO Martin Ratio Rank: 87

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.

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 ratio: Return per unit of total volatility	0.90	1.61	-0.71
Sortino ratio: Return per unit of downside risk	1.29	2.53	-1.24
Omega ratio: Gain probability vs. loss probability	1.16	1.29	-0.13
Calmar ratio: Return relative to maximum drawdown	1.22	3.79	-2.57
Martin ratio: Return relative to average drawdown	3.69	8.26	-4.57

PFI vs. KO - Sharpe Ratio Comparison

The current PFI Sharpe Ratio is 0.90, which is lower than the KO Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of PFI and KO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	PFI	KO	Difference
Max Drawdown Largest 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%	-15.50%	-9.32%
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 Drawdown Current decline from peak	-0.31%	-2.49%	+2.18%
Average Drawdown Average peak-to-trough decline	-14.39%	-16.06%	+1.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.59%	3.61%	+0.98%

Volatility

PFI vs. KO - Volatility Comparison

The current volatility for Invesco Dorsey Wright Financial Momentum ETF (PFI) is 5.99%, while The Coca-Cola Company (KO) has a volatility of 8.55%. 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.

Volatility by Period

	PFI	KO	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.99%	8.55%	-2.56%
Volatility (6M) Calculated over the trailing 6-month period	13.92%	14.99%	-1.07%
Volatility (1Y) Calculated over the trailing 1-year period	18.94%	18.62%	+0.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.67%	16.65%	+5.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.30%	18.43%	+3.87%

Dividends

PFI vs. KO - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 0.96%, less than KO's 2.39% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KO The Coca-Cola Company	2.39%	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	0.96%	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

Can I hold both PFI and KO in my portfolio?

PFI and KO have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PFI or KO?

KO has higher volatility (8.55%) compared to PFI (5.99%). In terms of maximum drawdown, PFI dropped -59.53% vs KO's -68.23%.

Which has better risk-adjusted returns?

KO currently has the higher Sharpe Ratio (1.61 vs 0.90), 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.