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

Key characteristics


XMVMRWK
YTD Return1.99%3.41%
1Y Return21.58%23.17%
3Y Return (Ann)4.85%7.64%
5Y Return (Ann)11.59%12.89%
10Y Return (Ann)9.32%10.49%
Sharpe Ratio1.181.36
Daily Std Dev17.58%16.87%
Max Drawdown-62.83%-56.49%
Current Drawdown-5.75%-5.92%

Correlation

-0.50.00.51.00.9

The correlation between XMVM and RWK 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. RWK - Performance Comparison

In the year-to-date period, XMVM achieves a 1.99% return, which is significantly lower than RWK's 3.41% return. Over the past 10 years, XMVM has underperformed RWK with an annualized return of 9.32%, while RWK has yielded a comparatively higher 10.49% 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%
23.52%
XMVM
RWK

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 Revenue ETF

XMVM vs. RWK - Expense Ratio Comparison

Both XMVM and RWK have an expense ratio of 0.39%.


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 RWK: 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%

Risk-Adjusted Performance

XMVM vs. RWK - 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 Revenue ETF (RWK). 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
RWK
Sharpe ratio
The chart of Sharpe ratio for RWK, currently valued at 1.36, compared to the broader market-1.000.001.002.003.004.001.36
Sortino ratio
The chart of Sortino ratio for RWK, currently valued at 2.02, compared to the broader market-2.000.002.004.006.008.002.02
Omega ratio
The chart of Omega ratio for RWK, currently valued at 1.23, compared to the broader market1.001.502.001.23
Calmar ratio
The chart of Calmar ratio for RWK, currently valued at 1.75, compared to the broader market0.002.004.006.008.0010.001.75
Martin ratio
The chart of Martin ratio for RWK, currently valued at 5.26, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.26

XMVM vs. RWK - Sharpe Ratio Comparison

The current XMVM Sharpe Ratio is 1.18, which roughly equals the RWK Sharpe Ratio of 1.36. The chart below compares the 12-month rolling Sharpe Ratio of XMVM and RWK.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00NovemberDecember2024FebruaryMarchApril
1.18
1.36
XMVM
RWK

Dividends

XMVM vs. RWK - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.46%, more than RWK's 1.07% 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%
RWK
Invesco S&P MidCap 400 Revenue ETF
1.07%1.05%1.18%0.85%0.96%1.09%1.22%0.74%1.30%0.92%1.04%1.29%

Drawdowns

XMVM vs. RWK - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.83%, which is greater than RWK's maximum drawdown of -56.49%. Use the drawdown chart below to compare losses from any high point for XMVM and RWK. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.75%
-5.92%
XMVM
RWK

Volatility

XMVM vs. RWK - Volatility Comparison

Invesco S&P MidCap Value with Momentum ETF (XMVM) and Invesco S&P MidCap 400 Revenue ETF (RWK) have volatilities of 4.58% and 4.40%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
4.40%
XMVM
RWK