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

Correlation

The correlation between PRN and HLAL is 0.76, 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.


-0.50.00.51.00.8

Performance

PRN vs. HLAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Industrials Momentum ETF (PRN) and Wahed FTSE USA Shariah ETF (HLAL). The values are adjusted to include any dividend payments, if applicable.

100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
134.11%
125.47%
PRN
HLAL

Key characteristics

Sharpe Ratio

PRN:

1.69

HLAL:

1.48

Sortino Ratio

PRN:

2.30

HLAL:

1.96

Omega Ratio

PRN:

1.29

HLAL:

1.27

Calmar Ratio

PRN:

2.98

HLAL:

2.13

Martin Ratio

PRN:

11.00

HLAL:

7.88

Ulcer Index

PRN:

3.34%

HLAL:

2.50%

Daily Std Dev

PRN:

21.78%

HLAL:

13.32%

Max Drawdown

PRN:

-59.88%

HLAL:

-33.57%

Current Drawdown

PRN:

-11.49%

HLAL:

-2.75%

Returns By Period

In the year-to-date period, PRN achieves a 33.16% return, which is significantly higher than HLAL's 18.13% return.


PRN

YTD

33.16%

1M

-8.49%

6M

16.57%

1Y

34.20%

5Y*

18.60%

10Y*

13.20%

HLAL

YTD

18.13%

1M

2.24%

6M

6.27%

1Y

18.42%

5Y*

15.47%

10Y*

N/A

Compare stocks, funds, or ETFs

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


PRN vs. HLAL - Expense Ratio Comparison

PRN has a 0.60% expense ratio, which is higher than HLAL's 0.50% expense ratio.


PRN
Invesco DWA Industrials Momentum ETF
Expense ratio chart for PRN: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for HLAL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

PRN vs. HLAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Industrials Momentum ETF (PRN) and Wahed FTSE USA Shariah ETF (HLAL). 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 PRN, currently valued at 1.69, compared to the broader market0.002.004.001.691.48
The chart of Sortino ratio for PRN, currently valued at 2.29, compared to the broader market-2.000.002.004.006.008.0010.002.301.96
The chart of Omega ratio for PRN, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.27
The chart of Calmar ratio for PRN, currently valued at 2.98, compared to the broader market0.005.0010.0015.002.982.13
The chart of Martin ratio for PRN, currently valued at 11.00, compared to the broader market0.0020.0040.0060.0080.00100.0011.007.88
PRN
HLAL

The current PRN Sharpe Ratio is 1.69, which is comparable to the HLAL Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of PRN and HLAL, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.69
1.48
PRN
HLAL

Dividends

PRN vs. HLAL - Dividend Comparison

PRN's dividend yield for the trailing twelve months is around 0.22%, less than HLAL's 0.68% yield.


TTM20232022202120202019201820172016201520142013
PRN
Invesco DWA Industrials Momentum ETF
0.22%0.52%0.82%0.11%0.10%0.41%0.29%0.60%0.57%0.44%0.35%0.35%
HLAL
Wahed FTSE USA Shariah ETF
0.68%0.72%1.15%0.78%0.97%0.72%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRN vs. HLAL - Drawdown Comparison

The maximum PRN drawdown since its inception was -59.88%, which is greater than HLAL's maximum drawdown of -33.57%. Use the drawdown chart below to compare losses from any high point for PRN and HLAL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.49%
-2.75%
PRN
HLAL

Volatility

PRN vs. HLAL - Volatility Comparison

Invesco DWA Industrials Momentum ETF (PRN) has a higher volatility of 6.73% compared to Wahed FTSE USA Shariah ETF (HLAL) at 4.16%. This indicates that PRN's price experiences larger fluctuations and is considered to be riskier than HLAL 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%JulyAugustSeptemberOctoberNovemberDecember
6.73%
4.16%
PRN
HLAL
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab