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

Correlation

The correlation between XMVM and SYLD 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.


-0.50.00.51.00.9

Performance

XMVM vs. SYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap Value with Momentum ETF (XMVM) and Cambria Shareholder Yield ETF (SYLD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.51%
0.06%
XMVM
SYLD

Key characteristics

Sharpe Ratio

XMVM:

0.62

SYLD:

0.21

Sortino Ratio

XMVM:

1.01

SYLD:

0.40

Omega Ratio

XMVM:

1.12

SYLD:

1.05

Calmar Ratio

XMVM:

1.03

SYLD:

0.30

Martin Ratio

XMVM:

3.06

SYLD:

0.82

Ulcer Index

XMVM:

3.79%

SYLD:

3.94%

Daily Std Dev

XMVM:

18.69%

SYLD:

15.60%

Max Drawdown

XMVM:

-62.82%

SYLD:

-45.36%

Current Drawdown

XMVM:

-10.38%

SYLD:

-9.97%

Returns By Period

In the year-to-date period, XMVM achieves a 11.63% return, which is significantly higher than SYLD's 3.34% return. Over the past 10 years, XMVM has underperformed SYLD with an annualized return of 9.34%, while SYLD has yielded a comparatively higher 10.85% annualized return.


XMVM

YTD

11.63%

1M

-8.71%

6M

7.51%

1Y

11.21%

5Y*

11.20%

10Y*

9.34%

SYLD

YTD

3.34%

1M

-8.67%

6M

0.06%

1Y

3.00%

5Y*

13.81%

10Y*

10.85%

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XMVM vs. SYLD - Expense Ratio Comparison

XMVM has a 0.39% expense ratio, which is lower than SYLD's 0.59% expense ratio.


SYLD
Cambria Shareholder Yield ETF
Expense ratio chart for SYLD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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%

Risk-Adjusted Performance

XMVM vs. SYLD - 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 Cambria Shareholder Yield ETF (SYLD). 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 ratio
The chart of Sharpe ratio for XMVM, currently valued at 0.62, compared to the broader market0.002.004.000.620.21
The chart of Sortino ratio for XMVM, currently valued at 1.01, compared to the broader market-2.000.002.004.006.008.0010.001.010.40
The chart of Omega ratio for XMVM, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.05
The chart of Calmar ratio for XMVM, currently valued at 1.03, compared to the broader market0.005.0010.0015.001.030.30
The chart of Martin ratio for XMVM, currently valued at 3.06, compared to the broader market0.0020.0040.0060.0080.00100.003.060.82
XMVM
SYLD

The current XMVM Sharpe Ratio is 0.62, which is higher than the SYLD Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of XMVM and SYLD, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.62
0.21
XMVM
SYLD

Dividends

XMVM vs. SYLD - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.44%, less than SYLD's 2.04% yield.


TTM20232022202120202019201820172016201520142013
XMVM
Invesco S&P MidCap Value with Momentum ETF
1.44%1.57%1.76%1.10%1.37%1.73%2.87%2.22%2.27%2.58%1.52%1.39%
SYLD
Cambria Shareholder Yield ETF
2.04%1.92%2.20%2.22%2.00%2.07%2.52%1.48%1.92%6.45%3.89%0.82%

Drawdowns

XMVM vs. SYLD - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.82%, which is greater than SYLD's maximum drawdown of -45.36%. Use the drawdown chart below to compare losses from any high point for XMVM and SYLD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.38%
-9.97%
XMVM
SYLD

Volatility

XMVM vs. SYLD - Volatility Comparison

Invesco S&P MidCap Value with Momentum ETF (XMVM) has a higher volatility of 5.41% compared to Cambria Shareholder Yield ETF (SYLD) at 4.50%. This indicates that XMVM's price experiences larger fluctuations and is considered to be riskier than SYLD 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%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.41%
4.50%
XMVM
SYLD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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