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

Key characteristics


SPHBCOWZ
YTD Return6.37%11.56%
1Y Return32.63%28.90%
3Y Return (Ann)8.70%14.22%
5Y Return (Ann)17.73%17.43%
Sharpe Ratio1.622.15
Daily Std Dev19.88%13.98%
Max Drawdown-46.84%-38.63%
Current Drawdown0.00%0.00%

Correlation

0.84
-1.001.00

The correlation between SPHB and COWZ is 0.84, 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

SPHB vs. COWZ - Performance Comparison

In the year-to-date period, SPHB achieves a 6.37% return, which is significantly lower than COWZ's 11.56% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


80.00%100.00%120.00%140.00%160.00%OctoberNovemberDecember2024FebruaryMarch
161.02%
168.10%
SPHB
COWZ

Compare stocks, funds, or ETFs


Invesco S&P 500® High Beta ETF

Pacer US Cash Cows 100 ETF

SPHB vs. COWZ - Expense Ratio Comparison

SPHB has a 0.25% expense ratio, which is lower than COWZ's 0.49% expense ratio.

COWZ
Pacer US Cash Cows 100 ETF
0.50%1.00%1.50%2.00%0.49%
0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

SPHB vs. COWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Beta ETF (SPHB) and Pacer US Cash Cows 100 ETF (COWZ). 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPHB
Invesco S&P 500® High Beta ETF
1.62
COWZ
Pacer US Cash Cows 100 ETF
2.15

SPHB vs. COWZ - Sharpe Ratio Comparison

The current SPHB Sharpe Ratio is 1.62, which roughly equals the COWZ Sharpe Ratio of 2.15. The chart below compares the 12-month rolling Sharpe Ratio of SPHB and COWZ.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00OctoberNovemberDecember2024FebruaryMarch
1.62
2.15
SPHB
COWZ

Dividends

SPHB vs. COWZ - Dividend Comparison

SPHB's dividend yield for the trailing twelve months is around 0.85%, less than COWZ's 1.79% yield.


TTM20232022202120202019201820172016201520142013
SPHB
Invesco S&P 500® High Beta ETF
0.85%0.73%0.72%0.91%1.90%1.26%1.96%1.34%0.93%1.69%0.98%0.69%
COWZ
Pacer US Cash Cows 100 ETF
1.79%1.92%1.96%1.48%2.54%1.96%1.67%1.95%0.13%0.00%0.00%0.00%

Drawdowns

SPHB vs. COWZ - Drawdown Comparison

The maximum SPHB drawdown since its inception was -46.84%, which is greater than COWZ's maximum drawdown of -38.63%. The drawdown chart below compares losses from any high point along the way for SPHB and COWZ


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
SPHB
COWZ

Volatility

SPHB vs. COWZ - Volatility Comparison

Invesco S&P 500® High Beta ETF (SPHB) has a higher volatility of 4.83% compared to Pacer US Cash Cows 100 ETF (COWZ) at 2.63%. This indicates that SPHB's price experiences larger fluctuations and is considered to be riskier than COWZ 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%OctoberNovemberDecember2024FebruaryMarch
4.83%
2.63%
SPHB
COWZ