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SATO vs. SPMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SATOSPMO
YTD Return65.29%47.88%
1Y Return191.62%60.08%
3Y Return (Ann)-8.54%15.46%
Sharpe Ratio2.733.44
Sortino Ratio3.134.42
Omega Ratio1.361.61
Calmar Ratio2.464.62
Martin Ratio10.0119.25
Ulcer Index18.23%3.16%
Daily Std Dev66.90%17.69%
Max Drawdown-88.01%-30.95%
Current Drawdown-24.58%-0.35%

Correlation

-0.50.00.51.00.5

The correlation between SATO and SPMO is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SATO vs. SPMO - Performance Comparison

In the year-to-date period, SATO achieves a 65.29% return, which is significantly higher than SPMO's 47.88% 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%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
71.73%
18.89%
SATO
SPMO

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SATO vs. SPMO - Expense Ratio Comparison

SATO has a 0.60% expense ratio, which is higher than SPMO's 0.13% expense ratio.


SATO
Invesco Alerian Galaxy Crypto Economy ETF
Expense ratio chart for SATO: 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 SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

SATO vs. SPMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Alerian Galaxy Crypto Economy ETF (SATO) and Invesco S&P 500® Momentum ETF (SPMO). 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.


SATO
Sharpe ratio
The chart of Sharpe ratio for SATO, currently valued at 2.73, compared to the broader market-2.000.002.004.006.002.73
Sortino ratio
The chart of Sortino ratio for SATO, currently valued at 3.13, compared to the broader market-2.000.002.004.006.008.0010.0012.003.13
Omega ratio
The chart of Omega ratio for SATO, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for SATO, currently valued at 2.46, compared to the broader market0.005.0010.0015.002.46
Martin ratio
The chart of Martin ratio for SATO, currently valued at 10.01, compared to the broader market0.0020.0040.0060.0080.00100.0010.01
SPMO
Sharpe ratio
The chart of Sharpe ratio for SPMO, currently valued at 3.44, compared to the broader market-2.000.002.004.006.003.44
Sortino ratio
The chart of Sortino ratio for SPMO, currently valued at 4.42, compared to the broader market-2.000.002.004.006.008.0010.0012.004.42
Omega ratio
The chart of Omega ratio for SPMO, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for SPMO, currently valued at 4.62, compared to the broader market0.005.0010.0015.004.62
Martin ratio
The chart of Martin ratio for SPMO, currently valued at 19.25, compared to the broader market0.0020.0040.0060.0080.00100.0019.25

SATO vs. SPMO - Sharpe Ratio Comparison

The current SATO Sharpe Ratio is 2.73, which is comparable to the SPMO Sharpe Ratio of 3.44. The chart below compares the historical Sharpe Ratios of SATO and SPMO, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.73
3.44
SATO
SPMO

Dividends

SATO vs. SPMO - Dividend Comparison

SATO's dividend yield for the trailing twelve months is around 1.83%, more than SPMO's 0.44% yield.


TTM202320222021202020192018201720162015
SATO
Invesco Alerian Galaxy Crypto Economy ETF
1.83%2.22%8.99%0.73%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF
0.44%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%

Drawdowns

SATO vs. SPMO - Drawdown Comparison

The maximum SATO drawdown since its inception was -88.01%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for SATO and SPMO. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-24.58%
-0.35%
SATO
SPMO

Volatility

SATO vs. SPMO - Volatility Comparison

Invesco Alerian Galaxy Crypto Economy ETF (SATO) has a higher volatility of 23.65% compared to Invesco S&P 500® Momentum ETF (SPMO) at 4.80%. This indicates that SATO's price experiences larger fluctuations and is considered to be riskier than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
23.65%
4.80%
SATO
SPMO