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

Performance

PFM vs. VOO - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.64%
13.62%
PFM
VOO

Returns By Period

In the year-to-date period, PFM achieves a 20.05% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, PFM has underperformed VOO with an annualized return of 10.31%, while VOO has yielded a comparatively higher 13.18% annualized return.


PFM

YTD

20.05%

1M

0.87%

6M

12.64%

1Y

25.85%

5Y (annualized)

11.81%

10Y (annualized)

10.31%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


PFMVOO
Sharpe Ratio2.722.70
Sortino Ratio3.783.60
Omega Ratio1.501.50
Calmar Ratio5.383.90
Martin Ratio18.0917.65
Ulcer Index1.45%1.86%
Daily Std Dev9.66%12.19%
Max Drawdown-53.21%-33.99%
Current Drawdown-0.59%-0.86%

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PFM vs. VOO - Expense Ratio Comparison

PFM has a 0.53% expense ratio, which is higher than VOO's 0.03% 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 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%

Correlation

-0.50.00.51.00.9

The correlation between PFM and VOO is 0.91, 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

PFM vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dividend Achievers™ ETF (PFM) 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 PFM, currently valued at 2.72, compared to the broader market0.002.004.002.722.70
The chart of Sortino ratio for PFM, currently valued at 3.78, compared to the broader market-2.000.002.004.006.008.0010.0012.003.783.60
The chart of Omega ratio for PFM, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.50
The chart of Calmar ratio for PFM, currently valued at 5.38, compared to the broader market0.005.0010.0015.005.383.90
The chart of Martin ratio for PFM, currently valued at 18.09, compared to the broader market0.0020.0040.0060.0080.00100.0018.0917.65
PFM
VOO

The current PFM Sharpe Ratio is 2.72, which is comparable to the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of PFM 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.72
2.70
PFM
VOO

Dividends

PFM vs. VOO - Dividend Comparison

PFM's dividend yield for the trailing twelve months is around 1.59%, more than VOO's 1.24% 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%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PFM vs. VOO - Drawdown Comparison

The maximum PFM drawdown since its inception was -53.21%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PFM and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.59%
-0.86%
PFM
VOO

Volatility

PFM vs. VOO - Volatility Comparison

The current volatility for Invesco Dividend Achievers™ ETF (PFM) is 3.40%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that PFM experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
3.99%
PFM
VOO