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

Key characteristics


PIOFIW
YTD Return4.75%15.71%
1Y Return22.67%33.37%
3Y Return (Ann)-0.32%5.90%
5Y Return (Ann)8.38%14.70%
10Y Return (Ann)7.14%13.31%
Sharpe Ratio1.492.14
Sortino Ratio2.103.04
Omega Ratio1.261.37
Calmar Ratio1.082.78
Martin Ratio5.8911.50
Ulcer Index3.82%2.90%
Daily Std Dev15.09%15.61%
Max Drawdown-64.91%-52.75%
Current Drawdown-4.91%-1.52%

Correlation

-0.50.00.51.00.8

The correlation between PIO and FIW is 0.79, 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. FIW - Performance Comparison

In the year-to-date period, PIO achieves a 4.75% return, which is significantly lower than FIW's 15.71% return. Over the past 10 years, PIO has underperformed FIW with an annualized return of 7.14%, while FIW has yielded a comparatively higher 13.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-4.91%
2.20%
PIO
FIW

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PIO vs. FIW - Expense Ratio Comparison

PIO has a 0.75% expense ratio, which is higher than FIW's 0.54% 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 FIW: current value at 0.54% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.54%

Risk-Adjusted Performance

PIO vs. FIW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Global Water ETF (PIO) and First Trust Water ETF (FIW). 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 1.49, compared to the broader market-2.000.002.004.006.001.49
Sortino ratio
The chart of Sortino ratio for PIO, currently valued at 2.10, compared to the broader market-2.000.002.004.006.008.0010.0012.002.10
Omega ratio
The chart of Omega ratio for PIO, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for PIO, currently valued at 1.08, compared to the broader market0.005.0010.0015.001.08
Martin ratio
The chart of Martin ratio for PIO, currently valued at 5.89, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.89
FIW
Sharpe ratio
The chart of Sharpe ratio for FIW, currently valued at 2.14, compared to the broader market-2.000.002.004.006.002.14
Sortino ratio
The chart of Sortino ratio for FIW, currently valued at 3.04, compared to the broader market-2.000.002.004.006.008.0010.0012.003.04
Omega ratio
The chart of Omega ratio for FIW, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for FIW, currently valued at 2.78, compared to the broader market0.005.0010.0015.002.78
Martin ratio
The chart of Martin ratio for FIW, currently valued at 11.50, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.50

PIO vs. FIW - Sharpe Ratio Comparison

The current PIO Sharpe Ratio is 1.49, which is lower than the FIW Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of PIO and FIW, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.49
2.14
PIO
FIW

Dividends

PIO vs. FIW - Dividend Comparison

PIO's dividend yield for the trailing twelve months is around 0.83%, more than FIW's 0.59% yield.


TTM20232022202120202019201820172016201520142013
PIO
Invesco Global Water ETF
0.83%0.84%1.02%1.19%0.88%1.19%2.00%1.00%1.45%1.62%1.42%1.50%
FIW
First Trust Water ETF
0.59%0.68%0.67%0.37%0.56%0.55%0.73%1.13%0.51%0.76%0.75%0.63%

Drawdowns

PIO vs. FIW - Drawdown Comparison

The maximum PIO drawdown since its inception was -64.91%, which is greater than FIW's maximum drawdown of -52.75%. Use the drawdown chart below to compare losses from any high point for PIO and FIW. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.91%
-1.52%
PIO
FIW

Volatility

PIO vs. FIW - Volatility Comparison

The current volatility for Invesco Global Water ETF (PIO) is 3.80%, while First Trust Water ETF (FIW) has a volatility of 4.25%. This indicates that PIO experiences smaller price fluctuations and is considered to be less risky than FIW 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%
4.25%
PIO
FIW