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PSCM vs. PSCI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PSCM and PSCI is 0.74, 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.


-0.50.00.51.00.7

Performance

PSCM vs. PSCI - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
231.75%
503.14%
PSCM
PSCI

Key characteristics

Sharpe Ratio

PSCM:

0.14

PSCI:

0.91

Sortino Ratio

PSCM:

0.36

PSCI:

1.43

Omega Ratio

PSCM:

1.04

PSCI:

1.17

Calmar Ratio

PSCM:

0.22

PSCI:

2.01

Martin Ratio

PSCM:

0.56

PSCI:

4.82

Ulcer Index

PSCM:

5.55%

PSCI:

4.01%

Daily Std Dev

PSCM:

22.76%

PSCI:

21.29%

Max Drawdown

PSCM:

-51.34%

PSCI:

-45.55%

Current Drawdown

PSCM:

-13.93%

PSCI:

-9.38%

Returns By Period

In the year-to-date period, PSCM achieves a 0.82% return, which is significantly lower than PSCI's 17.38% return. Over the past 10 years, PSCM has underperformed PSCI with an annualized return of 7.00%, while PSCI has yielded a comparatively higher 12.31% annualized return.


PSCM

YTD

0.82%

1M

-10.02%

6M

0.08%

1Y

1.55%

5Y*

10.59%

10Y*

7.00%

PSCI

YTD

17.38%

1M

-4.98%

6M

13.06%

1Y

17.66%

5Y*

14.24%

10Y*

12.31%

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. PSCI - Expense Ratio Comparison

Both PSCM and PSCI have an expense ratio of 0.29%.


PSCM
Invesco S&P SmallCap Materials ETF
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%
Expense ratio chart for PSCI: 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. PSCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Materials ETF (PSCM) and Invesco S&P SmallCap Industrials ETF (PSCI). 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 market0.002.004.000.140.91
The chart of Sortino ratio for PSCM, currently valued at 0.36, compared to the broader market-2.000.002.004.006.008.0010.000.361.43
The chart of Omega ratio for PSCM, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.17
The chart of Calmar ratio for PSCM, currently valued at 0.22, compared to the broader market0.005.0010.0015.000.222.01
The chart of Martin ratio for PSCM, currently valued at 0.56, compared to the broader market0.0020.0040.0060.0080.00100.000.564.82
PSCM
PSCI

The current PSCM Sharpe Ratio is 0.14, which is lower than the PSCI Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of PSCM and PSCI, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.14
0.91
PSCM
PSCI

Dividends

PSCM vs. PSCI - Dividend Comparison

PSCM's dividend yield for the trailing twelve months is around 0.56%, more than PSCI's 0.47% 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%
PSCI
Invesco S&P SmallCap Industrials ETF
0.47%0.72%0.87%0.69%0.59%0.64%0.67%0.71%0.74%1.02%0.81%0.47%

Drawdowns

PSCM vs. PSCI - Drawdown Comparison

The maximum PSCM drawdown since its inception was -51.34%, which is greater than PSCI's maximum drawdown of -45.55%. Use the drawdown chart below to compare losses from any high point for PSCM and PSCI. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.93%
-9.38%
PSCM
PSCI

Volatility

PSCM vs. PSCI - Volatility Comparison

Invesco S&P SmallCap Materials ETF (PSCM) and Invesco S&P SmallCap Industrials ETF (PSCI) have volatilities of 5.72% and 6.01%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.72%
6.01%
PSCM
PSCI
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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.

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