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PWV vs. PVAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PWVPVAL
YTD Return16.66%21.84%
1Y Return32.25%36.90%
3Y Return (Ann)9.79%12.98%
Sharpe Ratio2.903.34
Sortino Ratio4.044.56
Omega Ratio1.511.59
Calmar Ratio4.525.39
Martin Ratio16.6723.42
Ulcer Index2.01%1.61%
Daily Std Dev11.54%11.28%
Max Drawdown-49.04%-16.64%
Current Drawdown-2.59%-1.42%

Correlation

-0.50.00.51.00.9

The correlation between PWV and PVAL is 0.90, 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.

Performance

PWV vs. PVAL - Performance Comparison

In the year-to-date period, PWV achieves a 16.66% return, which is significantly lower than PVAL's 21.84% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctober
8.48%
9.50%
PWV
PVAL

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PWV vs. PVAL - Expense Ratio Comparison

PWV has a 0.58% expense ratio, which is higher than PVAL's 0.55% expense ratio.


PWV
Invesco Dynamic Large Cap Value ETF
Expense ratio chart for PWV: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for PVAL: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

PWV vs. PVAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Large Cap Value ETF (PWV) and Putnam Focused Large Cap Value ETF (PVAL). 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.


PWV
Sharpe ratio
The chart of Sharpe ratio for PWV, currently valued at 2.90, compared to the broader market-2.000.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for PWV, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for PWV, currently valued at 1.51, compared to the broader market1.001.502.002.503.003.501.51
Calmar ratio
The chart of Calmar ratio for PWV, currently valued at 4.52, compared to the broader market0.005.0010.0015.004.52
Martin ratio
The chart of Martin ratio for PWV, currently valued at 16.67, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.67
PVAL
Sharpe ratio
The chart of Sharpe ratio for PVAL, currently valued at 3.34, compared to the broader market-2.000.002.004.006.003.34
Sortino ratio
The chart of Sortino ratio for PVAL, currently valued at 4.56, compared to the broader market0.005.0010.004.56
Omega ratio
The chart of Omega ratio for PVAL, currently valued at 1.59, compared to the broader market1.001.502.002.503.003.501.59
Calmar ratio
The chart of Calmar ratio for PVAL, currently valued at 5.39, compared to the broader market0.005.0010.0015.005.39
Martin ratio
The chart of Martin ratio for PVAL, currently valued at 23.42, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.42

PWV vs. PVAL - Sharpe Ratio Comparison

The current PWV Sharpe Ratio is 2.90, which is comparable to the PVAL Sharpe Ratio of 3.34. The chart below compares the historical Sharpe Ratios of PWV and PVAL, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctober
2.90
3.34
PWV
PVAL

Dividends

PWV vs. PVAL - Dividend Comparison

PWV's dividend yield for the trailing twelve months is around 1.99%, more than PVAL's 1.46% yield.


TTM20232022202120202019201820172016201520142013
PWV
Invesco Dynamic Large Cap Value ETF
1.99%2.16%2.29%1.89%2.66%2.24%2.34%1.55%2.35%2.42%1.93%1.82%
PVAL
Putnam Focused Large Cap Value ETF
1.46%1.33%0.59%0.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PWV vs. PVAL - Drawdown Comparison

The maximum PWV drawdown since its inception was -49.04%, which is greater than PVAL's maximum drawdown of -16.64%. Use the drawdown chart below to compare losses from any high point for PWV and PVAL. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober
-2.59%
-1.42%
PWV
PVAL

Volatility

PWV vs. PVAL - Volatility Comparison

Invesco Dynamic Large Cap Value ETF (PWV) and Putnam Focused Large Cap Value ETF (PVAL) have volatilities of 2.78% and 2.71%, 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctober
2.78%
2.71%
PWV
PVAL