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

Performance

PIO vs. GM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Global Water ETF (PIO) and General Motors Company (GM). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-3.09%
26.88%
PIO
GM

Returns By Period

In the year-to-date period, PIO achieves a 4.17% return, which is significantly lower than GM's 56.27% return. Over the past 10 years, PIO has underperformed GM with an annualized return of 6.88%, while GM has yielded a comparatively higher 8.38% annualized return.


PIO

YTD

4.17%

1M

-1.04%

6M

-2.74%

1Y

15.14%

5Y (annualized)

8.08%

10Y (annualized)

6.88%

GM

YTD

56.27%

1M

3.63%

6M

27.98%

1Y

100.33%

5Y (annualized)

10.56%

10Y (annualized)

8.38%

Key characteristics


PIOGM
Sharpe Ratio1.073.25
Sortino Ratio1.534.08
Omega Ratio1.191.57
Calmar Ratio0.971.79
Martin Ratio3.9920.19
Ulcer Index3.93%5.04%
Daily Std Dev14.68%31.27%
Max Drawdown-64.91%-59.95%
Current Drawdown-5.45%-13.31%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.5

The correlation between PIO and GM is 0.50, 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

PIO vs. GM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Global Water ETF (PIO) and General Motors Company (GM). 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 PIO, currently valued at 1.07, compared to the broader market0.002.004.001.073.25
The chart of Sortino ratio for PIO, currently valued at 1.53, compared to the broader market-2.000.002.004.006.008.0010.001.534.08
The chart of Omega ratio for PIO, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.57
The chart of Calmar ratio for PIO, currently valued at 0.97, compared to the broader market0.005.0010.0015.000.971.79
The chart of Martin ratio for PIO, currently valued at 3.99, compared to the broader market0.0020.0040.0060.0080.00100.003.9920.19
PIO
GM

The current PIO Sharpe Ratio is 1.07, which is lower than the GM Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of PIO and GM, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.07
3.25
PIO
GM

Dividends

PIO vs. GM - Dividend Comparison

PIO's dividend yield for the trailing twelve months is around 0.83%, more than GM's 0.81% 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%
GM
General Motors Company
0.81%1.00%0.54%0.00%0.91%4.15%4.54%3.71%4.36%4.06%3.44%0.00%

Drawdowns

PIO vs. GM - Drawdown Comparison

The maximum PIO drawdown since its inception was -64.91%, which is greater than GM's maximum drawdown of -59.95%. Use the drawdown chart below to compare losses from any high point for PIO and GM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.45%
-13.31%
PIO
GM

Volatility

PIO vs. GM - Volatility Comparison

The current volatility for Invesco Global Water ETF (PIO) is 3.18%, while General Motors Company (GM) has a volatility of 7.90%. This indicates that PIO experiences smaller price fluctuations and is considered to be less risky than GM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
3.18%
7.90%
PIO
GM