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PIO vs. CGW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PIOCGW
YTD Return5.08%11.05%
1Y Return24.53%26.83%
3Y Return (Ann)0.16%0.64%
5Y Return (Ann)8.51%10.18%
10Y Return (Ann)7.15%9.30%
Sharpe Ratio1.631.87
Sortino Ratio2.272.74
Omega Ratio1.281.33
Calmar Ratio1.131.27
Martin Ratio6.479.20
Ulcer Index3.80%2.91%
Daily Std Dev15.09%14.30%
Max Drawdown-64.91%-57.24%
Current Drawdown-4.61%-3.81%

Correlation

-0.50.00.51.00.9

The correlation between PIO and CGW is 0.87, 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.

Performance

PIO vs. CGW - Performance Comparison

In the year-to-date period, PIO achieves a 5.08% return, which is significantly lower than CGW's 11.05% return. Over the past 10 years, PIO has underperformed CGW with an annualized return of 7.15%, while CGW has yielded a comparatively higher 9.30% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-2.67%
0.46%
PIO
CGW

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PIO vs. CGW - Expense Ratio Comparison

PIO has a 0.75% expense ratio, which is higher than CGW's 0.57% expense ratio.


PIO
Invesco Global Water ETF
Expense ratio chart for PIO: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for CGW: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%

Risk-Adjusted Performance

PIO vs. CGW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Global Water ETF (PIO) and Invesco S&P Global Water Index ETF (CGW). 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.


PIO
Sharpe ratio
The chart of Sharpe ratio for PIO, currently valued at 1.63, compared to the broader market-2.000.002.004.006.001.63
Sortino ratio
The chart of Sortino ratio for PIO, currently valued at 2.27, compared to the broader market0.005.0010.002.27
Omega ratio
The chart of Omega ratio for PIO, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for PIO, currently valued at 1.13, compared to the broader market0.005.0010.0015.001.13
Martin ratio
The chart of Martin ratio for PIO, currently valued at 6.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.47
CGW
Sharpe ratio
The chart of Sharpe ratio for CGW, currently valued at 1.87, compared to the broader market-2.000.002.004.006.001.87
Sortino ratio
The chart of Sortino ratio for CGW, currently valued at 2.74, compared to the broader market0.005.0010.002.74
Omega ratio
The chart of Omega ratio for CGW, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for CGW, currently valued at 1.27, compared to the broader market0.005.0010.0015.001.27
Martin ratio
The chart of Martin ratio for CGW, currently valued at 9.20, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.20

PIO vs. CGW - Sharpe Ratio Comparison

The current PIO Sharpe Ratio is 1.63, which is comparable to the CGW Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of PIO and CGW, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.63
1.87
PIO
CGW

Dividends

PIO vs. CGW - Dividend Comparison

PIO's dividend yield for the trailing twelve months is around 0.82%, less than CGW's 1.40% yield.


TTM20232022202120202019201820172016201520142013
PIO
Invesco Global Water ETF
0.82%0.84%1.02%1.19%0.88%1.19%2.00%1.00%1.45%1.62%1.42%1.50%
CGW
Invesco S&P Global Water Index ETF
1.40%1.55%1.45%1.59%1.41%1.48%2.14%1.71%1.65%1.67%1.77%1.52%

Drawdowns

PIO vs. CGW - Drawdown Comparison

The maximum PIO drawdown since its inception was -64.91%, which is greater than CGW's maximum drawdown of -57.24%. Use the drawdown chart below to compare losses from any high point for PIO and CGW. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.61%
-3.81%
PIO
CGW

Volatility

PIO vs. CGW - Volatility Comparison

The current volatility for Invesco Global Water ETF (PIO) is 3.80%, while Invesco S&P Global Water Index ETF (CGW) has a volatility of 4.03%. This indicates that PIO experiences smaller price fluctuations and is considered to be less risky than CGW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
4.03%
PIO
CGW