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

Key characteristics


RFVPVAL
YTD Return10.45%26.36%
1Y Return32.43%37.22%
3Y Return (Ann)10.69%13.79%
Sharpe Ratio1.773.42
Sortino Ratio2.514.69
Omega Ratio1.321.62
Calmar Ratio3.285.59
Martin Ratio8.1923.99
Ulcer Index4.22%1.63%
Daily Std Dev19.46%11.38%
Max Drawdown-71.82%-16.64%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between RFV and PVAL is 0.87, 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

RFV vs. PVAL - Performance Comparison

In the year-to-date period, RFV achieves a 10.45% return, which is significantly lower than PVAL's 26.36% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.25%
10.83%
RFV
PVAL

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RFV vs. PVAL - Expense Ratio Comparison

RFV has a 0.35% expense ratio, which is lower than PVAL's 0.55% expense ratio.


PVAL
Putnam Focused Large Cap Value ETF
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%
Expense ratio chart for RFV: 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%

Risk-Adjusted Performance

RFV vs. PVAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400® Pure Value ETF (RFV) 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.


RFV
Sharpe ratio
The chart of Sharpe ratio for RFV, currently valued at 1.77, compared to the broader market-2.000.002.004.006.001.77
Sortino ratio
The chart of Sortino ratio for RFV, currently valued at 2.51, compared to the broader market0.005.0010.002.51
Omega ratio
The chart of Omega ratio for RFV, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for RFV, currently valued at 3.28, compared to the broader market0.005.0010.0015.003.28
Martin ratio
The chart of Martin ratio for RFV, currently valued at 8.19, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.19
PVAL
Sharpe ratio
The chart of Sharpe ratio for PVAL, currently valued at 3.42, compared to the broader market-2.000.002.004.006.003.42
Sortino ratio
The chart of Sortino ratio for PVAL, currently valued at 4.69, compared to the broader market0.005.0010.004.69
Omega ratio
The chart of Omega ratio for PVAL, currently valued at 1.62, compared to the broader market1.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for PVAL, currently valued at 5.59, compared to the broader market0.005.0010.0015.005.59
Martin ratio
The chart of Martin ratio for PVAL, currently valued at 23.99, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.99

RFV vs. PVAL - Sharpe Ratio Comparison

The current RFV Sharpe Ratio is 1.77, which is lower than the PVAL Sharpe Ratio of 3.42. The chart below compares the historical Sharpe Ratios of RFV 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.77
3.42
RFV
PVAL

Dividends

RFV vs. PVAL - Dividend Comparison

RFV's dividend yield for the trailing twelve months is around 1.18%, less than PVAL's 1.41% yield.


TTM20232022202120202019201820172016201520142013
RFV
Invesco S&P MidCap 400® Pure Value ETF
1.18%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%
PVAL
Putnam Focused Large Cap Value ETF
1.41%1.33%0.59%0.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

RFV vs. PVAL - Drawdown Comparison

The maximum RFV drawdown since its inception was -71.82%, which is greater than PVAL's maximum drawdown of -16.64%. Use the drawdown chart below to compare losses from any high point for RFV and PVAL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
RFV
PVAL

Volatility

RFV vs. PVAL - Volatility Comparison

Invesco S&P MidCap 400® Pure Value ETF (RFV) has a higher volatility of 6.36% compared to Putnam Focused Large Cap Value ETF (PVAL) at 3.89%. This indicates that RFV's price experiences larger fluctuations and is considered to be riskier than PVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.36%
3.89%
RFV
PVAL