PFI vs. MBOX
Compare and contrast key facts about Invesco DWA Financial Momentum ETF (PFI) and Freedom Day Dividend ETF (MBOX).
PFI and MBOX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PFI is a passively managed fund by Invesco that tracks the performance of the DWA Financial Technical Leaders Index. It was launched on Oct 12, 2006. MBOX is an actively managed fund by EMPIRICAL FINANCE LLC. It was launched on May 5, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PFI or MBOX.
Performance
PFI vs. MBOX - Performance Comparison
Returns By Period
In the year-to-date period, PFI achieves a 42.51% return, which is significantly higher than MBOX's 23.85% return.
PFI
42.51%
12.13%
28.78%
50.72%
12.83%
9.33%
MBOX
23.85%
4.89%
11.66%
32.65%
N/A
N/A
Key characteristics
| PFI | MBOX | |
|---|---|---|
| Sharpe Ratio | 2.67 | 2.66 |
| Sortino Ratio | 3.64 | 3.68 |
| Omega Ratio | 1.46 | 1.46 |
| Calmar Ratio | 1.91 | 4.78 |
| Martin Ratio | 19.66 | 16.96 |
| Ulcer Index | 2.58% | 1.93% |
| Daily Std Dev | 19.01% | 12.25% |
| Max Drawdown | -59.53% | -16.42% |
| Current Drawdown | 0.00% | 0.00% |
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PFI vs. MBOX - Expense Ratio Comparison
PFI has a 0.60% expense ratio, which is higher than MBOX's 0.39% expense ratio.
Correlation
The correlation between PFI and MBOX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
PFI vs. MBOX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DWA 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.
Dividends
PFI vs. MBOX - Dividend Comparison
PFI's dividend yield for the trailing twelve months is around 1.69%, more than MBOX's 1.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PFI Invesco DWA Financial Momentum ETF | 1.69% | 1.85% | 1.93% | 1.28% | 1.56% | 0.92% | 1.98% | 0.35% | 2.16% | 1.44% | 1.10% | 1.36% |
MBOX Freedom Day Dividend ETF | 1.55% | 2.13% | 2.87% | 1.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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. For additional features, visit the drawdowns tool.
Volatility
PFI vs. MBOX - Volatility Comparison
Invesco DWA Financial Momentum ETF (PFI) has a higher volatility of 9.73% compared to Freedom Day Dividend ETF (MBOX) at 3.98%. 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.