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TRFK vs. PRN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TRFKPRN
YTD Return39.65%46.59%
1Y Return59.06%67.69%
Sharpe Ratio2.343.17
Sortino Ratio2.934.02
Omega Ratio1.391.52
Calmar Ratio3.425.01
Martin Ratio11.1223.74
Ulcer Index5.30%2.86%
Daily Std Dev25.21%21.38%
Max Drawdown-21.86%-59.88%
Current Drawdown-0.29%-1.28%

Correlation

-0.50.00.51.00.6

The correlation between TRFK and PRN is 0.60, 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

TRFK vs. PRN - Performance Comparison

In the year-to-date period, TRFK achieves a 39.65% return, which is significantly lower than PRN's 46.59% 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%30.00%JuneJulyAugustSeptemberOctoberNovember
19.08%
24.14%
TRFK
PRN

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TRFK vs. PRN - Expense Ratio Comparison

Both TRFK and PRN have an expense ratio of 0.60%.


TRFK
Pacer Data and Digital Revolution ETF
Expense ratio chart for TRFK: 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 PRN: 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%

Risk-Adjusted Performance

TRFK vs. PRN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Pacer Data and Digital Revolution ETF (TRFK) and Invesco DWA Industrials Momentum ETF (PRN). 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.


TRFK
Sharpe ratio
The chart of Sharpe ratio for TRFK, currently valued at 2.34, compared to the broader market-2.000.002.004.006.002.34
Sortino ratio
The chart of Sortino ratio for TRFK, currently valued at 2.93, compared to the broader market-2.000.002.004.006.008.0010.0012.002.93
Omega ratio
The chart of Omega ratio for TRFK, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for TRFK, currently valued at 3.42, compared to the broader market0.005.0010.0015.003.42
Martin ratio
The chart of Martin ratio for TRFK, currently valued at 11.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.12
PRN
Sharpe ratio
The chart of Sharpe ratio for PRN, currently valued at 3.17, compared to the broader market-2.000.002.004.006.003.17
Sortino ratio
The chart of Sortino ratio for PRN, currently valued at 4.02, compared to the broader market-2.000.002.004.006.008.0010.0012.004.02
Omega ratio
The chart of Omega ratio for PRN, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for PRN, currently valued at 7.07, compared to the broader market0.005.0010.0015.007.07
Martin ratio
The chart of Martin ratio for PRN, currently valued at 23.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.74

TRFK vs. PRN - Sharpe Ratio Comparison

The current TRFK Sharpe Ratio is 2.34, which is comparable to the PRN Sharpe Ratio of 3.17. The chart below compares the historical Sharpe Ratios of TRFK and PRN, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.34
3.17
TRFK
PRN

Dividends

TRFK vs. PRN - Dividend Comparison

TRFK's dividend yield for the trailing twelve months is around 0.45%, more than PRN's 0.30% yield.


TTM20232022202120202019201820172016201520142013
TRFK
Pacer Data and Digital Revolution ETF
0.45%0.20%0.56%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PRN
Invesco DWA Industrials Momentum ETF
0.30%0.52%0.82%0.11%0.10%0.41%0.29%0.60%0.57%0.44%0.35%0.35%

Drawdowns

TRFK vs. PRN - Drawdown Comparison

The maximum TRFK drawdown since its inception was -21.86%, smaller than the maximum PRN drawdown of -59.88%. Use the drawdown chart below to compare losses from any high point for TRFK and PRN. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.29%
-1.28%
TRFK
PRN

Volatility

TRFK vs. PRN - Volatility Comparison

The current volatility for Pacer Data and Digital Revolution ETF (TRFK) is 6.86%, while Invesco DWA Industrials Momentum ETF (PRN) has a volatility of 7.86%. This indicates that TRFK experiences smaller price fluctuations and is considered to be less risky than PRN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
6.86%
7.86%
TRFK
PRN