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

Correlation

The correlation between PSCM and KBWR is 0.61, 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.


-0.50.00.51.00.6

Performance

PSCM vs. KBWR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Materials ETF (PSCM) and Invesco KBW Regional Banking ETF (KBWR). The values are adjusted to include any dividend payments, if applicable.

180.00%200.00%220.00%240.00%260.00%280.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
235.29%
260.91%
PSCM
KBWR

Key characteristics

Sharpe Ratio

PSCM:

0.14

KBWR:

0.47

Sortino Ratio

PSCM:

0.36

KBWR:

0.95

Omega Ratio

PSCM:

1.04

KBWR:

1.11

Calmar Ratio

PSCM:

0.22

KBWR:

0.49

Martin Ratio

PSCM:

0.56

KBWR:

1.62

Ulcer Index

PSCM:

5.55%

KBWR:

8.79%

Daily Std Dev

PSCM:

22.76%

KBWR:

30.01%

Max Drawdown

PSCM:

-51.34%

KBWR:

-52.86%

Current Drawdown

PSCM:

-13.93%

KBWR:

-11.96%

Returns By Period

In the year-to-date period, PSCM achieves a 0.82% return, which is significantly lower than KBWR's 12.61% return. Both investments have delivered pretty close results over the past 10 years, with PSCM having a 7.00% annualized return and KBWR not far behind at 6.77%.


PSCM

YTD

0.82%

1M

-10.02%

6M

0.08%

1Y

1.55%

5Y*

10.59%

10Y*

7.00%

KBWR

YTD

12.61%

1M

-6.75%

6M

29.37%

1Y

12.86%

5Y*

4.92%

10Y*

6.77%

Compare stocks, funds, or ETFs

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


PSCM vs. KBWR - Expense Ratio Comparison

PSCM has a 0.29% expense ratio, which is lower than KBWR's 0.35% expense ratio.


KBWR
Invesco KBW Regional Banking ETF
Expense ratio chart for KBWR: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for PSCM: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

PSCM vs. KBWR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Materials ETF (PSCM) and Invesco KBW Regional Banking ETF (KBWR). 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 PSCM, currently valued at 0.14, compared to the broader market0.002.004.000.140.47
The chart of Sortino ratio for PSCM, currently valued at 0.36, compared to the broader market-2.000.002.004.006.008.0010.000.360.95
The chart of Omega ratio for PSCM, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.11
The chart of Calmar ratio for PSCM, currently valued at 0.22, compared to the broader market0.005.0010.0015.000.220.49
The chart of Martin ratio for PSCM, currently valued at 0.56, compared to the broader market0.0020.0040.0060.0080.00100.000.561.62
PSCM
KBWR

The current PSCM Sharpe Ratio is 0.14, which is lower than the KBWR Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of PSCM and KBWR, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.14
0.47
PSCM
KBWR

Dividends

PSCM vs. KBWR - Dividend Comparison

PSCM's dividend yield for the trailing twelve months is around 0.56%, less than KBWR's 2.00% yield.


TTM20232022202120202019201820172016201520142013
PSCM
Invesco S&P SmallCap Materials ETF
0.56%0.81%0.93%0.67%1.56%1.14%1.25%0.62%0.76%1.33%0.85%0.52%
KBWR
Invesco KBW Regional Banking ETF
2.00%2.89%2.51%2.04%2.92%2.44%2.45%1.59%1.50%1.92%1.79%1.50%

Drawdowns

PSCM vs. KBWR - Drawdown Comparison

The maximum PSCM drawdown since its inception was -51.34%, roughly equal to the maximum KBWR drawdown of -52.86%. Use the drawdown chart below to compare losses from any high point for PSCM and KBWR. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.93%
-11.96%
PSCM
KBWR

Volatility

PSCM vs. KBWR - Volatility Comparison

The current volatility for Invesco S&P SmallCap Materials ETF (PSCM) is 5.72%, while Invesco KBW Regional Banking ETF (KBWR) has a volatility of 7.58%. This indicates that PSCM experiences smaller price fluctuations and is considered to be less risky than KBWR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
5.72%
7.58%
PSCM
KBWR
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