PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RFV vs. XMMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RFVXMMO
YTD Return-3.21%23.20%
1Y Return22.21%47.05%
3Y Return (Ann)9.04%10.09%
5Y Return (Ann)12.02%14.55%
10Y Return (Ann)10.10%14.93%
Sharpe Ratio1.142.79
Daily Std Dev20.12%17.09%
Max Drawdown-71.82%-55.37%
Current Drawdown-5.83%-3.76%

Correlation

0.75
-1.001.00

The correlation between RFV and XMMO is 0.75, 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. XMMO - Performance Comparison

In the year-to-date period, RFV achieves a -3.21% return, which is significantly lower than XMMO's 23.20% return. Over the past 10 years, RFV has underperformed XMMO with an annualized return of 10.10%, while XMMO has yielded a comparatively higher 14.93% annualized 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%10.00%20.00%30.00%40.00%50.00%NovemberDecember2024FebruaryMarchApril
19.20%
40.92%
RFV
XMMO

Compare stocks, funds, or ETFs


Invesco S&P MidCap 400® Pure Value ETF

Invesco S&P MidCap Momentum ETF

RFV vs. XMMO - Expense Ratio Comparison

RFV has a 0.35% expense ratio, which is higher than XMMO's 0.33% expense ratio.

RFV
Invesco S&P MidCap 400® Pure Value ETF
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

RFV vs. XMMO - 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 Invesco S&P MidCap Momentum ETF (XMMO). 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 Sharpe ratio of RFV compared to the broader market0.002.004.001.14
Sortino ratio
The Sortino ratio of RFV compared to the broader market-2.000.002.004.006.008.0010.001.73
Omega ratio
The Omega ratio of RFV compared to the broader market1.001.502.002.501.20
Calmar ratio
The Calmar ratio of RFV compared to the broader market0.002.004.006.008.0010.0012.001.30
Martin ratio
The Martin ratio of RFV compared to the broader market0.0020.0040.0060.0080.003.96
XMMO
Sharpe ratio
The Sharpe ratio of XMMO compared to the broader market0.002.004.002.79
Sortino ratio
The Sortino ratio of XMMO compared to the broader market-2.000.002.004.006.008.0010.003.94
Omega ratio
The Omega ratio of XMMO compared to the broader market1.001.502.002.501.47
Calmar ratio
The Calmar ratio of XMMO compared to the broader market0.002.004.006.008.0010.0012.002.07
Martin ratio
The Martin ratio of XMMO compared to the broader market0.0020.0040.0060.0080.0017.92

RFV vs. XMMO - Sharpe Ratio Comparison

The current RFV Sharpe Ratio is 1.14, which is lower than the XMMO Sharpe Ratio of 2.79. The chart below compares the 12-month rolling Sharpe Ratio of RFV and XMMO.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2024FebruaryMarchApril
1.14
2.79
RFV
XMMO

Dividends

RFV vs. XMMO - Dividend Comparison

RFV's dividend yield for the trailing twelve months is around 1.29%, more than XMMO's 0.46% yield.


TTM20232022202120202019201820172016201520142013
RFV
Invesco S&P MidCap 400® Pure Value ETF
1.29%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%
XMMO
Invesco S&P MidCap Momentum ETF
0.46%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%1.30%

Drawdowns

RFV vs. XMMO - Drawdown Comparison

The maximum RFV drawdown since its inception was -71.82%, which is greater than XMMO's maximum drawdown of -55.37%. The drawdown chart below compares losses from any high point along the way for RFV and XMMO


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.83%
-3.76%
RFV
XMMO

Volatility

RFV vs. XMMO - Volatility Comparison

Invesco S&P MidCap 400® Pure Value ETF (RFV) has a higher volatility of 5.86% compared to Invesco S&P MidCap Momentum ETF (XMMO) at 4.48%. This indicates that RFV's price experiences larger fluctuations and is considered to be riskier than XMMO 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%NovemberDecember2024FebruaryMarchApril
5.86%
4.48%
RFV
XMMO