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XMVM vs. MDY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XMVMMDY
YTD Return1.99%3.37%
1Y Return21.58%16.16%
3Y Return (Ann)4.85%2.80%
5Y Return (Ann)11.59%9.19%
10Y Return (Ann)9.32%9.30%
Sharpe Ratio1.180.99
Daily Std Dev17.58%16.22%
Max Drawdown-62.83%-55.33%
Current Drawdown-5.75%-5.91%

Correlation

-0.50.00.51.00.9

The correlation between XMVM and MDY is 0.89, 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

XMVM vs. MDY - Performance Comparison

In the year-to-date period, XMVM achieves a 1.99% return, which is significantly lower than MDY's 3.37% return. Both investments have delivered pretty close results over the past 10 years, with XMVM having a 9.32% annualized return and MDY not far behind at 9.30%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2024FebruaryMarchApril
19.05%
21.56%
XMVM
MDY

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Invesco S&P MidCap Value with Momentum ETF

SPDR S&P MidCap 400 ETF

XMVM vs. MDY - Expense Ratio Comparison

XMVM has a 0.39% expense ratio, which is higher than MDY's 0.23% expense ratio.


XMVM
Invesco S&P MidCap Value with Momentum ETF
Expense ratio chart for XMVM: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for MDY: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Risk-Adjusted Performance

XMVM vs. MDY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap Value with Momentum ETF (XMVM) and SPDR S&P MidCap 400 ETF (MDY). 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.


XMVM
Sharpe ratio
The chart of Sharpe ratio for XMVM, currently valued at 1.18, compared to the broader market-1.000.001.002.003.004.001.18
Sortino ratio
The chart of Sortino ratio for XMVM, currently valued at 1.82, compared to the broader market-2.000.002.004.006.008.001.82
Omega ratio
The chart of Omega ratio for XMVM, currently valued at 1.21, compared to the broader market1.001.502.001.21
Calmar ratio
The chart of Calmar ratio for XMVM, currently valued at 1.16, compared to the broader market0.002.004.006.008.0010.001.16
Martin ratio
The chart of Martin ratio for XMVM, currently valued at 5.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.05
MDY
Sharpe ratio
The chart of Sharpe ratio for MDY, currently valued at 0.99, compared to the broader market-1.000.001.002.003.004.000.99
Sortino ratio
The chart of Sortino ratio for MDY, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.001.52
Omega ratio
The chart of Omega ratio for MDY, currently valued at 1.17, compared to the broader market1.001.502.001.17
Calmar ratio
The chart of Calmar ratio for MDY, currently valued at 0.90, compared to the broader market0.002.004.006.008.0010.000.90
Martin ratio
The chart of Martin ratio for MDY, currently valued at 3.29, compared to the broader market0.0010.0020.0030.0040.0050.0060.003.29

XMVM vs. MDY - Sharpe Ratio Comparison

The current XMVM Sharpe Ratio is 1.18, which roughly equals the MDY Sharpe Ratio of 0.99. The chart below compares the 12-month rolling Sharpe Ratio of XMVM and MDY.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.18
0.99
XMVM
MDY

Dividends

XMVM vs. MDY - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.46%, more than MDY's 1.14% yield.


TTM20232022202120202019201820172016201520142013
XMVM
Invesco S&P MidCap Value with Momentum ETF
1.46%1.57%1.76%1.10%1.37%1.73%2.87%2.22%2.27%2.58%1.53%1.39%
MDY
SPDR S&P MidCap 400 ETF
1.14%1.21%1.37%0.96%1.12%1.34%1.39%1.18%1.31%1.35%1.17%1.07%

Drawdowns

XMVM vs. MDY - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.83%, which is greater than MDY's maximum drawdown of -55.33%. Use the drawdown chart below to compare losses from any high point for XMVM and MDY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.75%
-5.91%
XMVM
MDY

Volatility

XMVM vs. MDY - Volatility Comparison

Invesco S&P MidCap Value with Momentum ETF (XMVM) has a higher volatility of 4.58% compared to SPDR S&P MidCap 400 ETF (MDY) at 4.23%. This indicates that XMVM's price experiences larger fluctuations and is considered to be riskier than MDY 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%NovemberDecember2024FebruaryMarchApril
4.58%
4.23%
XMVM
MDY