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

Correlation

The correlation between XMVM and VTI is 0.83, 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.


-0.50.00.51.00.8

Performance

XMVM vs. VTI - 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 Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.51%
10.84%
XMVM
VTI

Key characteristics

Sharpe Ratio

XMVM:

0.62

VTI:

2.05

Sortino Ratio

XMVM:

1.01

VTI:

2.74

Omega Ratio

XMVM:

1.12

VTI:

1.38

Calmar Ratio

XMVM:

1.03

VTI:

3.06

Martin Ratio

XMVM:

3.06

VTI:

13.06

Ulcer Index

XMVM:

3.79%

VTI:

2.01%

Daily Std Dev

XMVM:

18.69%

VTI:

12.79%

Max Drawdown

XMVM:

-62.82%

VTI:

-55.45%

Current Drawdown

XMVM:

-10.38%

VTI:

-2.48%

Returns By Period

In the year-to-date period, XMVM achieves a 11.63% return, which is significantly lower than VTI's 25.60% return. Over the past 10 years, XMVM has underperformed VTI with an annualized return of 9.34%, while VTI has yielded a comparatively higher 12.55% annualized return.


XMVM

YTD

11.63%

1M

-8.71%

6M

7.51%

1Y

11.21%

5Y*

11.20%

10Y*

9.34%

VTI

YTD

25.60%

1M

-0.53%

6M

10.84%

1Y

25.91%

5Y*

14.22%

10Y*

12.55%

Compare stocks, funds, or ETFs

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XMVM vs. VTI - Expense Ratio Comparison

XMVM has a 0.39% expense ratio, which is higher than VTI's 0.03% 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

XMVM vs. VTI - 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 Total Stock Market ETF (VTI). 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 market0.002.004.000.622.05
The chart of Sortino ratio for XMVM, currently valued at 1.01, compared to the broader market-2.000.002.004.006.008.0010.001.012.74
The chart of Omega ratio for XMVM, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.38
The chart of Calmar ratio for XMVM, currently valued at 1.03, compared to the broader market0.005.0010.0015.001.033.06
The chart of Martin ratio for XMVM, currently valued at 3.06, compared to the broader market0.0020.0040.0060.0080.00100.003.0613.06
XMVM
VTI

The current XMVM Sharpe Ratio is 0.62, which is lower than the VTI Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of XMVM and VTI, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.62
2.05
XMVM
VTI

Dividends

XMVM vs. VTI - Dividend Comparison

XMVM's dividend yield for the trailing twelve months is around 1.44%, more than VTI's 1.25% 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%
VTI
Vanguard Total Stock Market ETF
1.25%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

XMVM vs. VTI - Drawdown Comparison

The maximum XMVM drawdown since its inception was -62.82%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for XMVM and VTI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.38%
-2.48%
XMVM
VTI

Volatility

XMVM vs. VTI - Volatility Comparison

Invesco S&P MidCap Value with Momentum ETF (XMVM) has a higher volatility of 5.41% compared to Vanguard Total Stock Market ETF (VTI) at 3.98%. This indicates that XMVM's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.41%
3.98%
XMVM
VTI
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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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