PFI vs. MBOX

Last updated Jun 24, 2026

PFI (Invesco Dorsey Wright Financial Momentum ETF) and MBOX (Freedom Day Dividend ETF) are both exchange-traded funds - PFI is a Momentum fund tracking the Dorsey Wright Financials Technical Leaders Index, while MBOX is a Dividend fund actively managed by EMPIRICAL FINANCE LLC. PFI is passively managed, while MBOX is actively managed. Over the past 5 years, PFI returned 5.43%/yr vs 12.11%/yr for MBOX. A 0.77 correlation means they provide meaningful diversification when combined. PFI charges 0.60%/yr vs 0.39%/yr for MBOX.

Performance

PFI vs. MBOX - Performance Comparison

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

Returns By Period

In the year-to-date period, PFI achieves a 7.04% return, which is significantly lower than MBOX's 15.12% return.

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%

MBOX

• 1D: -0.10%
• 1M: 0.91%
• YTD: 15.12%
• 6M: 14.04%
• 1Y: 22.27%
• 3Y*: 19.07%
• 5Y*: 12.11%
• 10Y*: —

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

PFI vs. MBOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
PFI Invesco Dorsey Wright Financial Momentum ETF	7.04%	1.98%	30.58%	12.58%	-24.09%	8.22%
MBOX Freedom Day Dividend ETF	15.12%	8.72%	16.39%	15.84%	-4.32%	10.13%

Correlation

The correlation between PFI and MBOX is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (All Time) Calculated using the full available price history since May 5, 2021	0.77

The correlation between PFI and MBOX has been stable across timeframes, ranging from 0.70 to 0.78 - a consistent structural relationship.

PFI vs. MBOX - Sectors Allocation Comparison

Sectors	PFI	MBOX
Financial Services	81.2%	25.2%
Real Estate	18.8%	4.2%
Basic Materials	-	3.4%
Communication Services	-	3.6%
Consumer Cyclical	-	1.4%
Consumer Defensive	-	3.7%
Energy	-	13.3%
Healthcare	-	10.5%
Industrials	-	7.8%
Technology	-	24.6%
Utilities	-	2.1%

Return for Risk

PFI vs. MBOX — Risk / Return Rank

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

PFI

PFI Risk / Return Rank: 20
PFI Sharpe Ratio Rank: 20
PFI Sortino Ratio Rank: 19
PFI Omega Ratio Rank: 19
PFI Calmar Ratio Rank: 20
PFI Martin Ratio Rank: 22

MBOX

MBOX Risk / Return Rank: 71
MBOX Sharpe Ratio Rank: 68
MBOX Sortino Ratio Rank: 72
MBOX Omega Ratio Rank: 64
MBOX Calmar Ratio Rank: 80
MBOX Martin Ratio Rank: 73

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.

PFI vs. MBOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Financial Momentum ETF (PFI) and Freedom Day Dividend ETF (MBOX). 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	MBOX	Difference
Sharpe ratio: Return per unit of total volatility	0.66	2.05	-1.40
Sortino ratio: Return per unit of downside risk	0.99	3.01	-2.02
Omega ratio: Gain probability vs. loss probability	1.12	1.36	-0.24
Calmar ratio: Return relative to maximum drawdown	0.89	3.89	-3.01
Martin ratio: Return relative to average drawdown	2.65	12.79	-10.14

PFI vs. MBOX - Sharpe Ratio Comparison

The current PFI Sharpe Ratio is 0.66, which is lower than the MBOX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of PFI and MBOX, 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. MBOX - Drawdown Comparison

The maximum PFI drawdown since its inception was -59.53%, which is greater than MBOX's maximum drawdown of -16.42%. Use the drawdown chart below to compare losses from any high point for PFI and MBOX.

Drawdown Indicators

	PFI	MBOX	Difference
Max Drawdown Largest peak-to-trough decline	-59.53%	-16.42%	-43.11%
Max Drawdown (1Y) Largest decline over 1 year	-13.86%	-5.75%	-8.11%
Max Drawdown (3Y) Largest decline over 3 years	-24.82%	-16.37%	-8.45%
Max Drawdown (5Y) Largest decline over 5 years	-35.43%	-16.42%	-19.01%
Max Drawdown (10Y) Largest decline over 10 years	-43.09%	—	—
Current Drawdown Current decline from peak	-1.04%	-1.30%	+0.26%
Average Drawdown Average peak-to-trough decline	-14.47%	-3.43%	-11.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.62%	1.74%	+2.88%

Volatility

PFI vs. MBOX - Volatility Comparison

Invesco Dorsey Wright Financial Momentum ETF (PFI) has a higher volatility of 4.05% compared to Freedom Day Dividend ETF (MBOX) at 3.42%. This indicates that PFI's price experiences larger fluctuations and is considered to be riskier than MBOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PFI	MBOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	3.42%	+0.63%
Volatility (6M) Calculated over the trailing 6-month period	13.70%	7.95%	+5.75%
Volatility (1Y) Calculated over the trailing 1-year period	18.77%	10.91%	+7.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.84%	14.49%	+7.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.26%	14.43%	+7.83%

PFI vs. MBOX - Expense Ratio Comparison

PFI has a 0.60% expense ratio, which is higher than MBOX's 0.39% expense ratio.

Dividends

PFI vs. MBOX - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 1.00%, less than MBOX's 1.90% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MBOX Freedom Day Dividend ETF	1.90%	1.94%	1.60%	2.13%	2.87%	1.17%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
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

Can I hold both PFI and MBOX in my portfolio?

PFI and MBOX have a correlation of 0.70, 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 MBOX?

PFI has higher volatility (4.05%) compared to MBOX (3.42%). In terms of maximum drawdown, PFI dropped -59.53% vs MBOX's -16.42%.

Which ETF is better, PFI or MBOX?

On 5-year performance, MBOX leads with 12.11% vs 5.43% for PFI. On fees, MBOX is cheaper at 0.39% per year. On volatility, MBOX has been the lower-risk option at 3.42%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PFI or MBOX?

Over the 5-year period, MBOX has performed better with a 12.11% return vs 5.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PFI or MBOX?

MBOX is cheaper with a 0.39% expense ratio, compared with 0.60% for PFI.

Which ETF pays a higher dividend yield, PFI or MBOX?

MBOX has the higher dividend yield at 1.90%, compared with 1.00% for PFI.

What is the main difference between PFI and MBOX?

PFI is categorized as Momentum, while MBOX is Dividend. They also come from different issuers: Invesco and EMPIRICAL FINANCE LLC. Their fees differ too: 0.60% for PFI and 0.39% for MBOX.

Which has better risk-adjusted returns?

MBOX currently has the higher Sharpe Ratio (2.05 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.