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

Key characteristics


XMVMVOO
YTD Return3.07%7.85%
1Y Return21.17%25.52%
3Y Return (Ann)6.24%9.04%
5Y Return (Ann)11.74%13.89%
10Y Return (Ann)9.60%12.85%
Sharpe Ratio1.252.32
Daily Std Dev17.49%11.69%
Max Drawdown-62.83%-33.99%
Current Drawdown-4.75%-2.45%

Correlation

0.79
-1.001.00

The correlation between XMVM and VOO is 0.79, 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. VOO - Performance Comparison

In the year-to-date period, XMVM achieves a 3.07% return, which is significantly lower than VOO's 7.85% return. Over the past 10 years, XMVM has underperformed VOO with an annualized return of 9.60%, while VOO has yielded a comparatively higher 12.85% annualized return. 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%NovemberDecember2024FebruaryMarchApril
17.66%
19.33%
XMVM
VOO

Compare stocks, funds, or ETFs


Invesco S&P MidCap Value with Momentum ETF

Vanguard S&P 500 ETF

XMVM vs. VOO - Expense Ratio Comparison

XMVM has a 0.39% expense ratio, which is higher than VOO's 0.03% expense ratio.

XMVM
Invesco S&P MidCap Value with Momentum ETF
0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

XMVM vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 Sharpe ratio of XMVM compared to the broader market0.002.004.001.25
Sortino ratio
The Sortino ratio of XMVM compared to the broader market-2.000.002.004.006.008.0010.001.92
Omega ratio
The Omega ratio of XMVM compared to the broader market1.001.502.002.501.22
Calmar ratio
The Calmar ratio of XMVM compared to the broader market0.002.004.006.008.0010.0012.001.23
Martin ratio
The Martin ratio of XMVM compared to the broader market0.0020.0040.0060.0080.005.33
VOO
Sharpe ratio
The Sharpe ratio of VOO compared to the broader market0.002.004.002.32
Sortino ratio
The Sortino ratio of VOO compared to the broader market-2.000.002.004.006.008.0010.003.34
Omega ratio
The Omega ratio of VOO compared to the broader market1.001.502.002.501.41
Calmar ratio
The Calmar ratio of VOO compared to the broader market0.002.004.006.008.0010.0012.001.99
Martin ratio
The Martin ratio of VOO compared to the broader market0.0020.0040.0060.0080.009.84

XMVM vs. VOO - Sharpe Ratio Comparison

The current XMVM Sharpe Ratio is 1.25, which is lower than the VOO Sharpe Ratio of 2.32. The chart below compares the 12-month rolling Sharpe Ratio of XMVM and VOO.


Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2024FebruaryMarchApril
1.25
2.32
XMVM
VOO

Dividends

XMVM vs. VOO - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.45%, more than VOO's 1.37% yield.


TTM20232022202120202019201820172016201520142013
XMVM
Invesco S&P MidCap Value with Momentum ETF
1.45%1.57%1.76%1.10%1.37%1.73%2.87%2.22%2.27%2.58%1.53%1.39%
VOO
Vanguard S&P 500 ETF
1.37%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

XMVM vs. VOO - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.83%, which is greater than VOO's maximum drawdown of -33.99%. The drawdown chart below compares losses from any high point along the way for XMVM and VOO


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.75%
-2.45%
XMVM
VOO

Volatility

XMVM vs. VOO - Volatility Comparison

Invesco S&P MidCap Value with Momentum ETF (XMVM) has a higher volatility of 4.98% compared to Vanguard S&P 500 ETF (VOO) at 3.27%. This indicates that XMVM's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%NovemberDecember2024FebruaryMarchApril
4.98%
3.27%
XMVM
VOO