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PFI vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PFI and VOO is 0.76, 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.


-0.50.00.51.00.8

Performance

PFI vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Financial Momentum ETF (PFI) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
323.97%
602.93%
PFI
VOO

Key characteristics

Sharpe Ratio

PFI:

1.64

VOO:

2.25

Sortino Ratio

PFI:

2.33

VOO:

2.98

Omega Ratio

PFI:

1.30

VOO:

1.42

Calmar Ratio

PFI:

1.33

VOO:

3.31

Martin Ratio

PFI:

10.72

VOO:

14.77

Ulcer Index

PFI:

3.02%

VOO:

1.90%

Daily Std Dev

PFI:

19.74%

VOO:

12.46%

Max Drawdown

PFI:

-59.53%

VOO:

-33.99%

Current Drawdown

PFI:

-9.69%

VOO:

-2.47%

Returns By Period

In the year-to-date period, PFI achieves a 30.08% return, which is significantly higher than VOO's 26.02% return. Over the past 10 years, PFI has underperformed VOO with an annualized return of 8.08%, while VOO has yielded a comparatively higher 13.08% annualized return.


PFI

YTD

30.08%

1M

-5.69%

6M

19.28%

1Y

31.32%

5Y*

10.23%

10Y*

8.08%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PFI vs. VOO - Expense Ratio Comparison

PFI has a 0.60% expense ratio, which is higher than VOO's 0.03% expense ratio.


PFI
Invesco DWA Financial Momentum ETF
Expense ratio chart for PFI: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

PFI vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Financial Momentum ETF (PFI) and Vanguard S&P 500 ETF (VOO). 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 1.64, compared to the broader market0.002.004.001.642.25
The chart of Sortino ratio for PFI, currently valued at 2.33, compared to the broader market-2.000.002.004.006.008.0010.002.332.98
The chart of Omega ratio for PFI, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.42
The chart of Calmar ratio for PFI, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.333.31
The chart of Martin ratio for PFI, currently valued at 10.72, compared to the broader market0.0020.0040.0060.0080.00100.0010.7214.77
PFI
VOO

The current PFI Sharpe Ratio is 1.64, which is comparable to the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of PFI and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.64
2.25
PFI
VOO

Dividends

PFI vs. VOO - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 1.29%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
PFI
Invesco DWA Financial Momentum ETF
1.29%1.85%1.93%1.28%1.56%0.92%1.98%0.35%2.16%1.44%1.10%1.36%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PFI vs. VOO - Drawdown Comparison

The maximum PFI drawdown since its inception was -59.53%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PFI and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.69%
-2.47%
PFI
VOO

Volatility

PFI vs. VOO - Volatility Comparison

Invesco DWA Financial Momentum ETF (PFI) has a higher volatility of 6.90% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that PFI's price experiences larger fluctuations and is considered to be riskier than VOO 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
6.90%
3.75%
PFI
VOO
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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.

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