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

Correlation

The correlation between PFM and VYM is 0.94, 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.


-0.50.00.51.00.9

Performance

PFM vs. VYM - Performance Comparison

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

280.00%300.00%320.00%340.00%360.00%JulyAugustSeptemberOctoberNovemberDecember
302.38%
342.28%
PFM
VYM

Key characteristics

Sharpe Ratio

PFM:

1.97

VYM:

1.80

Sortino Ratio

PFM:

2.72

VYM:

2.54

Omega Ratio

PFM:

1.36

VYM:

1.33

Calmar Ratio

PFM:

3.88

VYM:

3.24

Martin Ratio

PFM:

12.34

VYM:

10.75

Ulcer Index

PFM:

1.57%

VYM:

1.80%

Daily Std Dev

PFM:

9.83%

VYM:

10.78%

Max Drawdown

PFM:

-53.21%

VYM:

-56.98%

Current Drawdown

PFM:

-4.14%

VYM:

-4.93%

Returns By Period

The year-to-date returns for both stocks are quite close, with PFM having a 17.29% return and VYM slightly lower at 17.16%. Both investments have delivered pretty close results over the past 10 years, with PFM having a 9.92% annualized return and VYM not far behind at 9.60%.


PFM

YTD

17.29%

1M

-1.34%

6M

8.06%

1Y

18.24%

5Y*

10.59%

10Y*

9.92%

VYM

YTD

17.16%

1M

-3.32%

6M

8.47%

1Y

17.88%

5Y*

9.71%

10Y*

9.60%

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. VYM - Expense Ratio Comparison

PFM has a 0.53% expense ratio, which is higher than VYM's 0.06% 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 VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

PFM vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dividend Achievers™ ETF (PFM) and Vanguard High Dividend Yield ETF (VYM). 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 1.97, compared to the broader market0.002.004.001.971.80
The chart of Sortino ratio for PFM, currently valued at 2.72, compared to the broader market-2.000.002.004.006.008.0010.002.722.54
The chart of Omega ratio for PFM, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.33
The chart of Calmar ratio for PFM, currently valued at 3.88, compared to the broader market0.005.0010.0015.003.883.24
The chart of Martin ratio for PFM, currently valued at 12.34, compared to the broader market0.0020.0040.0060.0080.00100.0012.3410.75
PFM
VYM

The current PFM Sharpe Ratio is 1.97, which is comparable to the VYM Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of PFM and VYM, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.97
1.80
PFM
VYM

Dividends

PFM vs. VYM - Dividend Comparison

PFM's dividend yield for the trailing twelve months is around 1.18%, less than VYM's 2.75% yield.


TTM20232022202120202019201820172016201520142013
PFM
Invesco Dividend Achievers™ ETF
1.18%1.86%1.95%1.69%1.92%1.94%2.27%1.70%2.56%2.36%1.93%1.87%
VYM
Vanguard High Dividend Yield ETF
2.75%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

PFM vs. VYM - Drawdown Comparison

The maximum PFM drawdown since its inception was -53.21%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for PFM and VYM. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.14%
-4.93%
PFM
VYM

Volatility

PFM vs. VYM - Volatility Comparison

The current volatility for Invesco Dividend Achievers™ ETF (PFM) is 3.40%, while Vanguard High Dividend Yield ETF (VYM) has a volatility of 3.96%. This indicates that PFM experiences smaller price fluctuations and is considered to be less risky than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.40%
3.96%
PFM
VYM
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab