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

Key characteristics


XMVMRFV
YTD Return1.99%-3.98%
1Y Return21.58%21.62%
3Y Return (Ann)4.85%7.84%
5Y Return (Ann)11.59%11.65%
10Y Return (Ann)9.32%9.94%
Sharpe Ratio1.181.06
Daily Std Dev17.58%20.22%
Max Drawdown-62.83%-71.82%
Current Drawdown-5.75%-6.58%

Correlation

-0.50.00.51.00.9

The correlation between XMVM and RFV is 0.87, 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. RFV - Performance Comparison

In the year-to-date period, XMVM achieves a 1.99% return, which is significantly higher than RFV's -3.98% return. Over the past 10 years, XMVM has underperformed RFV with an annualized return of 9.32%, while RFV has yielded a comparatively higher 9.94% 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%NovemberDecember2024FebruaryMarchApril
19.05%
21.55%
XMVM
RFV

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Invesco S&P MidCap Value with Momentum ETF

Invesco S&P MidCap 400® Pure Value ETF

XMVM vs. RFV - Expense Ratio Comparison

XMVM has a 0.39% expense ratio, which is higher than RFV's 0.35% 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 RFV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

XMVM vs. RFV - 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 Invesco S&P MidCap 400® Pure Value ETF (RFV). 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
RFV
Sharpe ratio
The chart of Sharpe ratio for RFV, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.001.06
Sortino ratio
The chart of Sortino ratio for RFV, currently valued at 1.63, compared to the broader market-2.000.002.004.006.008.001.63
Omega ratio
The chart of Omega ratio for RFV, currently valued at 1.19, compared to the broader market1.001.502.001.19
Calmar ratio
The chart of Calmar ratio for RFV, currently valued at 1.22, compared to the broader market0.002.004.006.008.0010.001.22
Martin ratio
The chart of Martin ratio for RFV, currently valued at 3.65, compared to the broader market0.0010.0020.0030.0040.0050.0060.003.65

XMVM vs. RFV - Sharpe Ratio Comparison

The current XMVM Sharpe Ratio is 1.18, which roughly equals the RFV Sharpe Ratio of 1.06. The chart below compares the 12-month rolling Sharpe Ratio of XMVM and RFV.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.18
1.06
XMVM
RFV

Dividends

XMVM vs. RFV - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.46%, more than RFV's 1.30% 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%
RFV
Invesco S&P MidCap 400® Pure Value ETF
1.30%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%

Drawdowns

XMVM vs. RFV - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.83%, smaller than the maximum RFV drawdown of -71.82%. Use the drawdown chart below to compare losses from any high point for XMVM and RFV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.75%
-6.58%
XMVM
RFV

Volatility

XMVM vs. RFV - Volatility Comparison

The current volatility for Invesco S&P MidCap Value with Momentum ETF (XMVM) is 4.58%, while Invesco S&P MidCap 400® Pure Value ETF (RFV) has a volatility of 5.36%. This indicates that XMVM experiences smaller price fluctuations and is considered to be less risky than RFV 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
4.58%
5.36%
XMVM
RFV