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

Performance

PSCT vs. OMFL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Information Technology ETF (PSCT) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-3.43%
-0.04%
PSCT
OMFL

Returns By Period

In the year-to-date period, PSCT achieves a -3.80% return, which is significantly lower than OMFL's 6.23% return.


PSCT

YTD

-3.80%

1M

-3.73%

6M

-3.43%

1Y

7.84%

5Y (annualized)

8.63%

10Y (annualized)

11.48%

OMFL

YTD

6.23%

1M

0.22%

6M

-0.04%

1Y

15.56%

5Y (annualized)

12.64%

10Y (annualized)

N/A

Key characteristics


PSCTOMFL
Sharpe Ratio0.341.16
Sortino Ratio0.651.61
Omega Ratio1.081.20
Calmar Ratio0.451.23
Martin Ratio1.203.62
Ulcer Index7.00%4.51%
Daily Std Dev24.40%14.17%
Max Drawdown-40.44%-33.24%
Current Drawdown-11.09%-2.74%

Compare stocks, funds, or ETFs

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


PSCT vs. OMFL - Expense Ratio Comparison

Both PSCT and OMFL have an expense ratio of 0.29%.


PSCT
Invesco S&P SmallCap Information Technology ETF
Expense ratio chart for PSCT: 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 OMFL: 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%

Correlation

-0.50.00.51.00.7

The correlation between PSCT and OMFL 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.

Risk-Adjusted Performance

PSCT vs. OMFL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Information Technology ETF (PSCT) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). 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 PSCT, currently valued at 0.34, compared to the broader market0.002.004.000.341.16
The chart of Sortino ratio for PSCT, currently valued at 0.65, compared to the broader market-2.000.002.004.006.008.0010.000.651.61
The chart of Omega ratio for PSCT, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.20
The chart of Calmar ratio for PSCT, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.451.23
The chart of Martin ratio for PSCT, currently valued at 1.20, compared to the broader market0.0020.0040.0060.0080.00100.001.203.62
PSCT
OMFL

The current PSCT Sharpe Ratio is 0.34, which is lower than the OMFL Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of PSCT and OMFL, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.34
1.16
PSCT
OMFL

Dividends

PSCT vs. OMFL - Dividend Comparison

PSCT's dividend yield for the trailing twelve months is around 0.04%, less than OMFL's 1.30% yield.


TTM20232022202120202019201820172016201520142013
PSCT
Invesco S&P SmallCap Information Technology ETF
0.04%0.02%0.00%0.01%0.08%0.22%0.47%0.19%0.25%0.15%0.13%0.21%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.30%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%0.00%0.00%

Drawdowns

PSCT vs. OMFL - Drawdown Comparison

The maximum PSCT drawdown since its inception was -40.44%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for PSCT and OMFL. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.09%
-2.74%
PSCT
OMFL

Volatility

PSCT vs. OMFL - Volatility Comparison

Invesco S&P SmallCap Information Technology ETF (PSCT) has a higher volatility of 8.49% compared to Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) at 4.27%. This indicates that PSCT's price experiences larger fluctuations and is considered to be riskier than OMFL 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%12.00%JuneJulyAugustSeptemberOctoberNovember
8.49%
4.27%
PSCT
OMFL