PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PFM vs. EDIV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PFM vs. EDIV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dividend Achievers™ ETF (PFM) and SPDR S&P Emerging Markets Dividend ETF (EDIV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.64%
2.82%
PFM
EDIV

Returns By Period

In the year-to-date period, PFM achieves a 20.05% return, which is significantly higher than EDIV's 13.28% return. Over the past 10 years, PFM has outperformed EDIV with an annualized return of 10.31%, while EDIV has yielded a comparatively lower 3.94% annualized return.


PFM

YTD

20.05%

1M

0.87%

6M

12.64%

1Y

25.85%

5Y (annualized)

11.81%

10Y (annualized)

10.31%

EDIV

YTD

13.28%

1M

-3.65%

6M

2.82%

1Y

19.30%

5Y (annualized)

7.30%

10Y (annualized)

3.94%

Key characteristics


PFMEDIV
Sharpe Ratio2.721.50
Sortino Ratio3.782.18
Omega Ratio1.501.27
Calmar Ratio5.382.21
Martin Ratio18.096.86
Ulcer Index1.45%2.73%
Daily Std Dev9.66%12.45%
Max Drawdown-53.21%-53.36%
Current Drawdown-0.59%-7.10%

Compare stocks, funds, or ETFs

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


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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for PFM, currently valued at 2.72, compared to the broader market0.002.004.002.721.50
The chart of Sortino ratio for PFM, currently valued at 3.78, compared to the broader market-2.000.002.004.006.008.0010.0012.003.782.18
The chart of Omega ratio for PFM, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.27
The chart of Calmar ratio for PFM, currently valued at 5.38, compared to the broader market0.005.0010.0015.005.382.21
The chart of Martin ratio for PFM, currently valued at 18.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.096.86
PFM
EDIV

The current PFM Sharpe Ratio is 2.72, which is higher than the EDIV Sharpe Ratio of 1.50. 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
2.72
1.50
PFM
EDIV

Dividends

PFM vs. EDIV - Dividend Comparison

PFM's dividend yield for the trailing twelve months is around 1.59%, less than EDIV's 3.58% yield.


TTM20232022202120202019201820172016201520142013
PFM
Invesco Dividend Achievers™ ETF
1.59%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
3.58%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%JuneJulyAugustSeptemberOctoberNovember
-0.59%
-7.10%
PFM
EDIV

Volatility

PFM vs. EDIV - Volatility Comparison

The current volatility for Invesco Dividend Achievers™ ETF (PFM) is 3.40%, while SPDR S&P Emerging Markets Dividend ETF (EDIV) has a volatility of 3.79%. 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
3.40%
3.79%
PFM
EDIV