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PXI vs. ENFR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PXIENFR
YTD Return10.18%41.59%
1Y Return16.72%48.51%
3Y Return (Ann)15.59%22.28%
5Y Return (Ann)15.35%17.03%
10Y Return (Ann)1.07%5.88%
Sharpe Ratio0.743.86
Sortino Ratio1.145.26
Omega Ratio1.141.68
Calmar Ratio0.649.04
Martin Ratio2.2531.92
Ulcer Index7.72%1.54%
Daily Std Dev23.31%12.76%
Max Drawdown-85.08%-68.28%
Current Drawdown-12.85%-0.82%

Correlation

-0.50.00.51.00.8

The correlation between PXI and ENFR is 0.78, 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

PXI vs. ENFR - Performance Comparison

In the year-to-date period, PXI achieves a 10.18% return, which is significantly lower than ENFR's 41.59% return. Over the past 10 years, PXI has underperformed ENFR with an annualized return of 1.07%, while ENFR has yielded a comparatively higher 5.88% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
2.53%
23.11%
PXI
ENFR

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PXI vs. ENFR - Expense Ratio Comparison

PXI has a 0.60% expense ratio, which is higher than ENFR's 0.35% expense ratio.


PXI
Invesco DWA Energy Momentum ETF
Expense ratio chart for PXI: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for ENFR: 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

PXI vs. ENFR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Energy Momentum ETF (PXI) and Alerian Energy Infrastructure ETF (ENFR). 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.


PXI
Sharpe ratio
The chart of Sharpe ratio for PXI, currently valued at 0.74, compared to the broader market-2.000.002.004.006.000.74
Sortino ratio
The chart of Sortino ratio for PXI, currently valued at 1.14, compared to the broader market-2.000.002.004.006.008.0010.0012.001.14
Omega ratio
The chart of Omega ratio for PXI, currently valued at 1.14, compared to the broader market1.001.502.002.503.001.14
Calmar ratio
The chart of Calmar ratio for PXI, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.64
Martin ratio
The chart of Martin ratio for PXI, currently valued at 2.25, compared to the broader market0.0020.0040.0060.0080.00100.002.25
ENFR
Sharpe ratio
The chart of Sharpe ratio for ENFR, currently valued at 3.86, compared to the broader market-2.000.002.004.006.003.86
Sortino ratio
The chart of Sortino ratio for ENFR, currently valued at 5.26, compared to the broader market-2.000.002.004.006.008.0010.0012.005.26
Omega ratio
The chart of Omega ratio for ENFR, currently valued at 1.68, compared to the broader market1.001.502.002.503.001.68
Calmar ratio
The chart of Calmar ratio for ENFR, currently valued at 9.04, compared to the broader market0.005.0010.0015.009.04
Martin ratio
The chart of Martin ratio for ENFR, currently valued at 31.91, compared to the broader market0.0020.0040.0060.0080.00100.0031.92

PXI vs. ENFR - Sharpe Ratio Comparison

The current PXI Sharpe Ratio is 0.74, which is lower than the ENFR Sharpe Ratio of 3.86. The chart below compares the historical Sharpe Ratios of PXI and ENFR, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.74
3.86
PXI
ENFR

Dividends

PXI vs. ENFR - Dividend Comparison

PXI's dividend yield for the trailing twelve months is around 1.32%, less than ENFR's 3.27% yield.


TTM20232022202120202019201820172016201520142013
PXI
Invesco DWA Energy Momentum ETF
1.32%1.82%3.14%0.57%1.73%2.80%0.93%0.80%0.73%2.06%1.15%0.75%
ENFR
Alerian Energy Infrastructure ETF
3.27%5.48%5.22%7.86%7.58%5.82%3.98%2.98%3.31%3.34%2.15%0.26%

Drawdowns

PXI vs. ENFR - Drawdown Comparison

The maximum PXI drawdown since its inception was -85.08%, which is greater than ENFR's maximum drawdown of -68.28%. Use the drawdown chart below to compare losses from any high point for PXI and ENFR. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.85%
-0.82%
PXI
ENFR

Volatility

PXI vs. ENFR - Volatility Comparison

Invesco DWA Energy Momentum ETF (PXI) has a higher volatility of 8.67% compared to Alerian Energy Infrastructure ETF (ENFR) at 4.15%. This indicates that PXI's price experiences larger fluctuations and is considered to be riskier than ENFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
8.67%
4.15%
PXI
ENFR