PRF vs. MGV
Compare and contrast key facts about Invesco FTSE RAFI US 1000 ETF (PRF) and Vanguard Mega Cap Value ETF (MGV).
PRF and MGV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PRF is a passively managed fund by Invesco that tracks the performance of the FTSE RAFI US 1000 Index. It was launched on Dec 19, 2005. MGV is a passively managed fund by Vanguard that tracks the performance of the MSCI US Large Cap Value Index. It was launched on Dec 17, 2007. Both PRF and MGV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PRF or MGV.
Performance
PRF vs. MGV - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with PRF having a 21.29% return and MGV slightly higher at 22.16%. Both investments have delivered pretty close results over the past 10 years, with PRF having a 10.90% annualized return and MGV not far behind at 10.81%.
PRF
21.29%
2.81%
12.55%
29.30%
13.67%
10.90%
MGV
22.16%
1.33%
12.55%
29.28%
11.94%
10.81%
Key characteristics
| PRF | MGV | |
|---|---|---|
| Sharpe Ratio | 2.72 | 2.96 |
| Sortino Ratio | 3.76 | 4.21 |
| Omega Ratio | 1.50 | 1.55 |
| Calmar Ratio | 5.08 | 6.00 |
| Martin Ratio | 17.75 | 19.37 |
| Ulcer Index | 1.68% | 1.53% |
| Daily Std Dev | 10.99% | 10.00% |
| Max Drawdown | -60.35% | -56.31% |
| Current Drawdown | -0.35% | -0.39% |
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PRF vs. MGV - Expense Ratio Comparison
PRF has a 0.39% expense ratio, which is higher than MGV's 0.07% expense ratio.
Correlation
The correlation between PRF and MGV is 0.96, 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.
Risk-Adjusted Performance
PRF vs. MGV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) and Vanguard Mega Cap Value ETF (MGV). 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.
Dividends
PRF vs. MGV - Dividend Comparison
PRF's dividend yield for the trailing twelve months is around 1.67%, less than MGV's 2.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PRF Invesco FTSE RAFI US 1000 ETF | 1.67% | 1.84% | 2.01% | 1.58% | 1.97% | 1.99% | 2.25% | 1.58% | 2.17% | 2.25% | 1.73% | 1.56% |
MGV Vanguard Mega Cap Value ETF | 2.23% | 2.48% | 2.45% | 2.17% | 2.47% | 2.69% | 2.65% | 2.34% | 2.53% | 2.59% | 2.26% | 2.29% |
Drawdowns
PRF vs. MGV - Drawdown Comparison
The maximum PRF drawdown since its inception was -60.35%, which is greater than MGV's maximum drawdown of -56.31%. Use the drawdown chart below to compare losses from any high point for PRF and MGV. For additional features, visit the drawdowns tool.
Volatility
PRF vs. MGV - Volatility Comparison
Invesco FTSE RAFI US 1000 ETF (PRF) and Vanguard Mega Cap Value ETF (MGV) have volatilities of 4.00% and 3.81%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.