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PRF vs. TGLS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PRF vs. TGLS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco FTSE RAFI US 1000 ETF (PRF) and Tecnoglass Inc. (TGLS). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
11.39%
40.79%
PRF
TGLS

Returns By Period

In the year-to-date period, PRF achieves a 20.05% return, which is significantly lower than TGLS's 71.27% return. Over the past 10 years, PRF has underperformed TGLS with an annualized return of 10.81%, while TGLS has yielded a comparatively higher 25.49% annualized return.


PRF

YTD

20.05%

1M

1.73%

6M

9.91%

1Y

28.53%

5Y (annualized)

13.45%

10Y (annualized)

10.81%

TGLS

YTD

71.27%

1M

13.27%

6M

40.80%

1Y

127.69%

5Y (annualized)

60.20%

10Y (annualized)

25.49%

Key characteristics


PRFTGLS
Sharpe Ratio2.582.77
Sortino Ratio3.583.53
Omega Ratio1.471.47
Calmar Ratio4.803.55
Martin Ratio16.7814.34
Ulcer Index1.68%9.06%
Daily Std Dev10.95%46.83%
Max Drawdown-60.35%-81.32%
Current Drawdown-1.37%-1.94%

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Correlation

-0.50.00.51.00.3

The correlation between PRF and TGLS is 0.28, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

PRF vs. TGLS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) and Tecnoglass Inc. (TGLS). 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 PRF, currently valued at 2.61, compared to the broader market0.002.004.002.612.77
The chart of Sortino ratio for PRF, currently valued at 3.62, compared to the broader market-2.000.002.004.006.008.0010.0012.003.623.53
The chart of Omega ratio for PRF, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.47
The chart of Calmar ratio for PRF, currently valued at 4.86, compared to the broader market0.005.0010.0015.004.863.55
The chart of Martin ratio for PRF, currently valued at 16.95, compared to the broader market0.0020.0040.0060.0080.00100.0016.9514.34
PRF
TGLS

The current PRF Sharpe Ratio is 2.58, which is comparable to the TGLS Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of PRF and TGLS, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.61
2.77
PRF
TGLS

Dividends

PRF vs. TGLS - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.68%, more than TGLS's 0.54% yield.


TTM20232022202120202019201820172016201520142013
PRF
Invesco FTSE RAFI US 1000 ETF
1.68%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%1.56%
TGLS
Tecnoglass Inc.
0.54%0.79%0.91%0.57%1.62%6.79%5.20%7.21%2.04%0.00%0.00%0.00%

Drawdowns

PRF vs. TGLS - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, smaller than the maximum TGLS drawdown of -81.32%. Use the drawdown chart below to compare losses from any high point for PRF and TGLS. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-1.94%
PRF
TGLS

Volatility

PRF vs. TGLS - Volatility Comparison

The current volatility for Invesco FTSE RAFI US 1000 ETF (PRF) is 3.89%, while Tecnoglass Inc. (TGLS) has a volatility of 12.52%. This indicates that PRF experiences smaller price fluctuations and is considered to be less risky than TGLS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
3.89%
12.52%
PRF
TGLS