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PFM vs. EDIV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PFMEDIV
YTD Return20.76%14.43%
1Y Return31.76%26.35%
3Y Return (Ann)9.09%11.44%
5Y Return (Ann)12.04%7.13%
10Y Return (Ann)10.55%4.20%
Sharpe Ratio3.142.05
Sortino Ratio4.372.93
Omega Ratio1.581.37
Calmar Ratio5.282.85
Martin Ratio21.4211.06
Ulcer Index1.44%2.34%
Daily Std Dev9.80%12.62%
Max Drawdown-53.21%-53.36%
Current Drawdown0.00%-6.16%

Correlation

-0.50.00.51.00.6

The correlation between PFM and EDIV is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

PFM vs. EDIV - Performance Comparison

In the year-to-date period, PFM achieves a 20.76% return, which is significantly higher than EDIV's 14.43% return. Over the past 10 years, PFM has outperformed EDIV with an annualized return of 10.55%, while EDIV has yielded a comparatively lower 4.20% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.20%
5.23%
PFM
EDIV

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PFM vs. EDIV - Expense Ratio Comparison

PFM has a 0.53% expense ratio, which is higher than EDIV's 0.49% expense ratio.


PFM
Invesco Dividend Achievers™ ETF
Expense ratio chart for PFM: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for EDIV: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

PFM vs. EDIV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dividend Achievers™ ETF (PFM) and SPDR S&P Emerging Markets Dividend ETF (EDIV). 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.


PFM
Sharpe ratio
The chart of Sharpe ratio for PFM, currently valued at 3.14, compared to the broader market-2.000.002.004.006.003.14
Sortino ratio
The chart of Sortino ratio for PFM, currently valued at 4.37, compared to the broader market-2.000.002.004.006.008.0010.0012.004.37
Omega ratio
The chart of Omega ratio for PFM, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for PFM, currently valued at 5.28, compared to the broader market0.005.0010.0015.005.28
Martin ratio
The chart of Martin ratio for PFM, currently valued at 21.42, compared to the broader market0.0020.0040.0060.0080.00100.0021.42
EDIV
Sharpe ratio
The chart of Sharpe ratio for EDIV, currently valued at 2.05, compared to the broader market-2.000.002.004.006.002.05
Sortino ratio
The chart of Sortino ratio for EDIV, currently valued at 2.93, compared to the broader market-2.000.002.004.006.008.0010.0012.002.93
Omega ratio
The chart of Omega ratio for EDIV, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for EDIV, currently valued at 2.85, compared to the broader market0.005.0010.0015.002.85
Martin ratio
The chart of Martin ratio for EDIV, currently valued at 11.06, compared to the broader market0.0020.0040.0060.0080.00100.0011.06

PFM vs. EDIV - Sharpe Ratio Comparison

The current PFM Sharpe Ratio is 3.14, which is higher than the EDIV Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of PFM and EDIV, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.14
2.05
PFM
EDIV

Dividends

PFM vs. EDIV - Dividend Comparison

PFM's dividend yield for the trailing twelve months is around 1.58%, less than EDIV's 3.54% yield.


TTM20232022202120202019201820172016201520142013
PFM
Invesco Dividend Achievers™ ETF
1.58%1.86%1.95%1.69%1.92%1.94%2.27%1.70%2.56%2.36%1.93%1.87%
EDIV
SPDR S&P Emerging Markets Dividend ETF
3.54%4.26%4.94%3.84%3.52%3.83%3.41%2.99%4.93%5.33%4.84%5.13%

Drawdowns

PFM vs. EDIV - Drawdown Comparison

The maximum PFM drawdown since its inception was -53.21%, roughly equal to the maximum EDIV drawdown of -53.36%. Use the drawdown chart below to compare losses from any high point for PFM and EDIV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-6.16%
PFM
EDIV

Volatility

PFM vs. EDIV - Volatility Comparison

The current volatility for Invesco Dividend Achievers™ ETF (PFM) is 3.44%, while SPDR S&P Emerging Markets Dividend ETF (EDIV) has a volatility of 3.91%. This indicates that PFM experiences smaller price fluctuations and is considered to be less risky than EDIV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.44%
3.91%
PFM
EDIV