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

Correlation

The correlation between PRN and PSCC is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

PRN vs. PSCC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Industrials Momentum ETF (PRN) and Invesco S&P SmallCap Consumer Staples ETF (PSCC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

PRN:

0.10

PSCC:

-0.29

Sortino Ratio

PRN:

0.42

PSCC:

-0.26

Omega Ratio

PRN:

1.05

PSCC:

0.97

Calmar Ratio

PRN:

0.15

PSCC:

-0.23

Martin Ratio

PRN:

0.39

PSCC:

-0.61

Ulcer Index

PRN:

11.72%

PSCC:

7.74%

Daily Std Dev

PRN:

28.22%

PSCC:

18.03%

Max Drawdown

PRN:

-59.88%

PSCC:

-33.61%

Current Drawdown

PRN:

-19.78%

PSCC:

-15.56%

Returns By Period

In the year-to-date period, PRN achieves a -7.41% return, which is significantly higher than PSCC's -9.66% return. Over the past 10 years, PRN has outperformed PSCC with an annualized return of 12.15%, while PSCC has yielded a comparatively lower 8.30% annualized return.


PRN

YTD

-7.41%

1M

9.24%

6M

-18.04%

1Y

2.83%

5Y*

18.01%

10Y*

12.15%

PSCC

YTD

-9.66%

1M

1.91%

6M

-10.33%

1Y

-5.29%

5Y*

10.24%

10Y*

8.30%

*Annualized

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PRN vs. PSCC - Expense Ratio Comparison

PRN has a 0.60% expense ratio, which is higher than PSCC's 0.29% expense ratio.


Risk-Adjusted Performance

PRN vs. PSCC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PRN
The Risk-Adjusted Performance Rank of PRN is 2929
Overall Rank
The Sharpe Ratio Rank of PRN is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of PRN is 3232
Sortino Ratio Rank
The Omega Ratio Rank of PRN is 3131
Omega Ratio Rank
The Calmar Ratio Rank of PRN is 3131
Calmar Ratio Rank
The Martin Ratio Rank of PRN is 2727
Martin Ratio Rank

PSCC
The Risk-Adjusted Performance Rank of PSCC is 99
Overall Rank
The Sharpe Ratio Rank of PSCC is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of PSCC is 99
Sortino Ratio Rank
The Omega Ratio Rank of PSCC is 1010
Omega Ratio Rank
The Calmar Ratio Rank of PSCC is 88
Calmar Ratio Rank
The Martin Ratio Rank of PSCC is 1010
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PRN vs. PSCC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Industrials Momentum ETF (PRN) and Invesco S&P SmallCap Consumer Staples ETF (PSCC). 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.


The current PRN Sharpe Ratio is 0.10, which is higher than the PSCC Sharpe Ratio of -0.29. The chart below compares the historical Sharpe Ratios of PRN and PSCC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

PRN vs. PSCC - Dividend Comparison

PRN's dividend yield for the trailing twelve months is around 0.37%, less than PSCC's 2.21% yield.


TTM20242023202220212020201920182017201620152014
PRN
Invesco DWA Industrials Momentum ETF
0.37%0.39%0.52%0.82%0.11%0.10%0.41%0.29%0.60%0.57%0.44%0.35%
PSCC
Invesco S&P SmallCap Consumer Staples ETF
2.21%1.88%1.49%1.29%1.21%1.59%1.77%0.94%1.25%1.48%1.34%1.60%

Drawdowns

PRN vs. PSCC - Drawdown Comparison

The maximum PRN drawdown since its inception was -59.88%, which is greater than PSCC's maximum drawdown of -33.61%. Use the drawdown chart below to compare losses from any high point for PRN and PSCC. For additional features, visit the drawdowns tool.


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Volatility

PRN vs. PSCC - Volatility Comparison

Invesco DWA Industrials Momentum ETF (PRN) has a higher volatility of 6.79% compared to Invesco S&P SmallCap Consumer Staples ETF (PSCC) at 5.48%. This indicates that PRN's price experiences larger fluctuations and is considered to be riskier than PSCC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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