PM vs. SPMO
PM (Philip Morris International Inc.) is a stock, while SPMO (Invesco S&P 500 Momentum ETF) is Momentum fund tracking the S&P 500 Momentum Index. Over the past 10 years, PM returned 11.71%/yr vs 20.86%/yr for SPMO. At a 0.22 correlation, their price movements are largely independent.
Performance
PM vs. SPMO - Performance Comparison
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Returns By Period
In the year-to-date period, PM achieves a 15.93% return, which is significantly lower than SPMO's 28.15% return. Over the past 10 years, PM has underperformed SPMO with an annualized return of 11.71%, while SPMO has yielded a comparatively higher 20.86% annualized return.
PM
- 1D
- 1.95%
- 1M
- -2.80%
- YTD
- 15.93%
- 6M
- 22.12%
- 1Y
- 3.53%
- 3Y*
- 31.18%
- 5Y*
- 18.78%
- 10Y*
- 11.71%
SPMO
- 1D
- 1.26%
- 1M
- 6.27%
- YTD
- 28.15%
- 6M
- 28.70%
- 1Y
- 44.90%
- 3Y*
- 41.53%
- 5Y*
- 23.50%
- 10Y*
- 20.86%
PM vs. SPMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PM Philip Morris International Inc. | 15.93% | 37.99% | 34.34% | -1.85% | 12.31% | 20.78% | 3.69% | 35.02% | -33.30% | 19.85% |
SPMO Invesco S&P 500 Momentum ETF | 28.15% | 26.58% | 45.82% | 17.56% | -10.45% | 22.64% | 28.25% | 25.93% | -0.92% | 27.76% |
Correlation
The correlation between PM and SPMO is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Oct 12, 2015 | 0.22 |
The correlation between PM and SPMO shifts across timeframes, from -0.06 (1 year) to 0.22 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
PM vs. SPMO — Risk / Return Rank
PM
SPMO
PM vs. SPMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Philip Morris International Inc. (PM) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| PM | SPMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.11 | ||
| Sortino ratioReturn per unit of downside risk | -2.61 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.41 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | 0.18 | 3.44 | -3.26 |
| Martin ratioReturn relative to average drawdown | 0.34 | 13.01 | -12.67 |
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Drawdowns
PM vs. SPMO - Drawdown Comparison
The maximum PM drawdown since its inception was -42.87%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for PM and SPMO.
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Drawdown Indicators
| PM | SPMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.87% | -30.95% | -11.92% |
Max Drawdown (1Y)Largest decline over 1 year | -20.64% | -12.70% | -7.94% |
Max Drawdown (3Y)Largest decline over 3 years | -20.64% | -20.13% | -0.51% |
Max Drawdown (5Y)Largest decline over 5 years | -22.78% | -22.74% | -0.04% |
Max Drawdown (10Y)Largest decline over 10 years | -42.87% | -30.95% | -11.92% |
Current DrawdownCurrent decline from peak | -3.94% | -1.68% | -2.26% |
Average DrawdownAverage peak-to-trough decline | -10.02% | -4.60% | -5.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.81% | 3.35% | +7.46% |
Volatility
PM vs. SPMO - Volatility Comparison
The current volatility for Philip Morris International Inc. (PM) is 7.76%, while Invesco S&P 500 Momentum ETF (SPMO) has a volatility of 10.29%. This indicates that PM 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.
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Volatility by Period
| PM | SPMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.76% | 10.29% | -2.53% |
Volatility (6M)Calculated over the trailing 6-month period | 21.07% | 16.73% | +4.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.73% | 19.48% | +8.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.73% | 19.65% | +3.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.46% | 20.48% | +3.98% |
Dividends
PM vs. SPMO - Dividend Comparison
PM's dividend yield for the trailing twelve months is around 3.13%, more than SPMO's 0.67% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PM Philip Morris International Inc. | 3.13% | 3.52% | 4.40% | 5.46% | 4.98% | 5.16% | 5.73% | 5.43% | 6.73% | 3.99% | 4.50% | 4.60% |
SPMO Invesco S&P 500 Momentum ETF | 0.67% | 0.73% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
Frequently Asked Questions
PM and SPMO have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPMO has higher volatility (10.29%) compared to PM (7.76%). In terms of maximum drawdown, PM dropped -42.87% vs SPMO's -30.95%.
SPMO currently has the higher Sharpe Ratio (2.24 vs 0.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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