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PRN vs. IMCG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PRN vs. IMCG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Industrials Momentum ETF (PRN) and iShares Morningstar Mid-Cap Growth ETF (IMCG). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
24.41%
11.00%
PRN
IMCG

Returns By Period

In the year-to-date period, PRN achieves a 44.76% return, which is significantly higher than IMCG's 20.27% return. Over the past 10 years, PRN has outperformed IMCG with an annualized return of 14.19%, while IMCG has yielded a comparatively lower 12.06% annualized return.


PRN

YTD

44.76%

1M

6.04%

6M

24.41%

1Y

59.82%

5Y (annualized)

20.94%

10Y (annualized)

14.19%

IMCG

YTD

20.27%

1M

2.75%

6M

11.00%

1Y

32.22%

5Y (annualized)

13.31%

10Y (annualized)

12.06%

Key characteristics


PRNIMCG
Sharpe Ratio2.912.34
Sortino Ratio3.703.20
Omega Ratio1.471.40
Calmar Ratio5.401.53
Martin Ratio21.4412.15
Ulcer Index2.88%2.73%
Daily Std Dev21.28%14.18%
Max Drawdown-59.88%-58.96%
Current Drawdown-2.51%-2.13%

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PRN vs. IMCG - Expense Ratio Comparison

PRN has a 0.60% expense ratio, which is higher than IMCG's 0.06% 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 IMCG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.8

The correlation between PRN and IMCG is 0.84, 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

PRN vs. IMCG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Industrials Momentum ETF (PRN) and iShares Morningstar Mid-Cap Growth ETF (IMCG). 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 2.91, compared to the broader market0.002.004.002.912.34
The chart of Sortino ratio for PRN, currently valued at 3.70, compared to the broader market-2.000.002.004.006.008.0010.003.703.20
The chart of Omega ratio for PRN, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.40
The chart of Calmar ratio for PRN, currently valued at 5.40, compared to the broader market0.005.0010.0015.005.401.53
The chart of Martin ratio for PRN, currently valued at 21.44, compared to the broader market0.0020.0040.0060.0080.00100.0021.4412.15
PRN
IMCG

The current PRN Sharpe Ratio is 2.91, which is comparable to the IMCG Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of PRN and IMCG, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.91
2.34
PRN
IMCG

Dividends

PRN vs. IMCG - Dividend Comparison

PRN's dividend yield for the trailing twelve months is around 0.31%, less than IMCG's 0.78% yield.


TTM20232022202120202019201820172016201520142013
PRN
Invesco DWA Industrials Momentum ETF
0.31%0.52%0.82%0.11%0.10%0.41%0.29%0.60%0.57%0.44%0.35%0.35%
IMCG
iShares Morningstar Mid-Cap Growth ETF
0.78%0.85%0.91%0.41%0.09%0.30%0.35%0.45%0.52%0.38%0.60%0.36%

Drawdowns

PRN vs. IMCG - Drawdown Comparison

The maximum PRN drawdown since its inception was -59.88%, roughly equal to the maximum IMCG drawdown of -58.96%. Use the drawdown chart below to compare losses from any high point for PRN and IMCG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.51%
-2.13%
PRN
IMCG

Volatility

PRN vs. IMCG - Volatility Comparison

Invesco DWA Industrials Momentum ETF (PRN) has a higher volatility of 7.96% compared to iShares Morningstar Mid-Cap Growth ETF (IMCG) at 4.71%. This indicates that PRN's price experiences larger fluctuations and is considered to be riskier than IMCG 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
7.96%
4.71%
PRN
IMCG