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

Key characteristics


PLDRSPMO
YTD Return26.67%48.17%
1Y Return37.63%61.13%
3Y Return (Ann)7.34%15.55%
Sharpe Ratio3.053.63
Sortino Ratio4.054.63
Omega Ratio1.571.64
Calmar Ratio3.644.90
Martin Ratio17.0820.41
Ulcer Index2.33%3.16%
Daily Std Dev12.98%17.72%
Max Drawdown-29.57%-30.95%
Current Drawdown-0.10%-0.15%

Correlation

-0.50.00.51.00.8

The correlation between PLDR and SPMO is 0.83, 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

PLDR vs. SPMO - Performance Comparison

In the year-to-date period, PLDR achieves a 26.67% return, which is significantly lower than SPMO's 48.17% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
11.43%
21.39%
PLDR
SPMO

Compare stocks, funds, or ETFs

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


PLDR vs. SPMO - Expense Ratio Comparison

PLDR has a 0.59% expense ratio, which is higher than SPMO's 0.13% expense ratio.


PLDR
Putnam Sustainable Leaders ETF
Expense ratio chart for PLDR: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

PLDR vs. SPMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Sustainable Leaders ETF (PLDR) and Invesco S&P 500® Momentum ETF (SPMO). 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.


PLDR
Sharpe ratio
The chart of Sharpe ratio for PLDR, currently valued at 3.05, compared to the broader market-2.000.002.004.006.003.05
Sortino ratio
The chart of Sortino ratio for PLDR, currently valued at 4.05, compared to the broader market0.005.0010.004.05
Omega ratio
The chart of Omega ratio for PLDR, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for PLDR, currently valued at 3.64, compared to the broader market0.005.0010.0015.003.64
Martin ratio
The chart of Martin ratio for PLDR, currently valued at 17.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.08
SPMO
Sharpe ratio
The chart of Sharpe ratio for SPMO, currently valued at 3.63, compared to the broader market-2.000.002.004.006.003.63
Sortino ratio
The chart of Sortino ratio for SPMO, currently valued at 4.63, compared to the broader market0.005.0010.004.63
Omega ratio
The chart of Omega ratio for SPMO, currently valued at 1.64, compared to the broader market1.001.502.002.503.001.64
Calmar ratio
The chart of Calmar ratio for SPMO, currently valued at 4.90, compared to the broader market0.005.0010.0015.004.90
Martin ratio
The chart of Martin ratio for SPMO, currently valued at 20.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.41

PLDR vs. SPMO - Sharpe Ratio Comparison

The current PLDR Sharpe Ratio is 3.05, which is comparable to the SPMO Sharpe Ratio of 3.63. The chart below compares the historical Sharpe Ratios of PLDR and SPMO, 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 Ratio1.502.002.503.003.504.004.505.00JuneJulyAugustSeptemberOctoberNovember
3.05
3.63
PLDR
SPMO

Dividends

PLDR vs. SPMO - Dividend Comparison

PLDR's dividend yield for the trailing twelve months is around 0.44%, which matches SPMO's 0.44% yield.


TTM202320222021202020192018201720162015
PLDR
Putnam Sustainable Leaders ETF
0.44%0.56%0.63%0.39%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF
0.44%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%

Drawdowns

PLDR vs. SPMO - Drawdown Comparison

The maximum PLDR drawdown since its inception was -29.57%, roughly equal to the maximum SPMO drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for PLDR and SPMO. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.10%
-0.15%
PLDR
SPMO

Volatility

PLDR vs. SPMO - Volatility Comparison

The current volatility for Putnam Sustainable Leaders ETF (PLDR) is 3.71%, while Invesco S&P 500® Momentum ETF (SPMO) has a volatility of 4.81%. This indicates that PLDR experiences smaller price fluctuations and is considered to be less risky than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
4.81%
PLDR
SPMO