Fund Performance Analysis

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Fund Information (Jan 2011 - Feb 2020)

Fund information
NameInvesco S&P MidCap 400 Equal Weight ETF (EWMC)
Asset ClassU.S. Equity
CategoryMid-Cap Blend
Fund BenchmarkS&P MidCap 400 Equal Weighted TR USD
Selected BenchmarkVanguard S&P Mid-Cap 400 ETF (IVOO)
Price/Earnings (TTM)22.27
Yield (SEC)1.07%
Yield (TTM)1.16%
Assets86.55 M
Expense Ratio0.40%
Inception Date12/03/2010

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P MidCap 400 Equal Weight ETF$10,000$21,051 8.46% 15.11%34.97%-13.65%-21.02% 0.570.860.95
Vanguard S&P Mid-Cap 400 ETF$10,000$22,672 9.34% 14.25%33.59%-11.76%-21.74% 0.660.990.95
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Invesco S&P MidCap 400 Equal Weight ETF-11.03%-9.11%0.55%3.34%8.46%17.19%15.98%
Vanguard S&P Mid-Cap 400 ETF-9.33%-3.39%3.21%5.39%9.34%15.92%14.62%
Trailing annualized return and volatility are for full months ending in February 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 01/25/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Invesco S&P MidCap 400 Equal Weight ETF vs. Vanguard S&P Mid-Cap 400 ETF

Up vs. Down Market Performance - Invesco S&P MidCap 400 Equal Weight ETF vs. Vanguard S&P Mid-Cap 400 ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market33387146%0.56%-0.53%-0.02%
Down Market20193951%0.64%-0.92%-0.12%
Total535711048%0.59%-0.66%-0.06%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryInvesco S&P MidCap 400 Equal Weight ETFVanguard S&P Mid-Cap 400 ETF
Large-cap Value0.00%1.93%
Large-cap Growth0.00%0.00%
Mid-cap Value71.43%43.16%
Mid-cap Growth19.60%50.57%
Small-cap Value3.43%2.63%
Small-cap Growth0.00%1.24%
Global ex-US Developed Markets5.54%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.45%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.01%
R Squared98.05%99.64%
Style analysis is based on monthly returns from January 2011 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Invesco S&P MidCap 400 Equal Weight ETF

Holdings Based Style Analysis for Invesco S&P MidCap 400 Equal Weight ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
EWMCInvesco S&P MidCap 400 Equal Weight ETFMid-Cap Blend100.00%1.07%0.40%22.27$11,051100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard S&P Mid-Cap 400 ETF

Holdings Based Style Analysis for Vanguard S&P Mid-Cap 400 ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
IVOOVanguard S&P Mid-Cap 400 ETFMid-Cap Blend100.00%1.24%0.10%25.51$12,672100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricInvesco S&P MidCap 400 Equal Weight ETFVanguard S&P Mid-Cap 400 ETF
Arithmetic Mean (monthly)0.77%0.83%
Arithmetic Mean (annualized)9.69%10.44%
Geometric Mean (monthly)0.68%0.75%
Geometric Mean (annualized)8.46%9.34%
Volatility (monthly)4.36%4.11%
Volatility (annualized)15.11%14.25%
Downside Deviation (monthly)2.86%2.68%
Max. Drawdown-21.02%-21.74%
US Market Correlation0.950.95
Beta(*)1.041.00
Alpha (annualized)-1.14%0.00%
R297.06%100.00%
Sharpe Ratio0.570.66
Sortino Ratio0.860.99
Treynor Ratio (%)8.299.35
Calmar Ratio0.030.18
Active Return-0.88%N/A
Tracking Error2.67%N/A
Information Ratio-0.33N/A
Skewness-0.28-0.39
Excess Kurtosis1.361.04
Historical Value-at-Risk (5%)-7.25%-6.80%
Analytical Value-at-Risk (5%)-6.40%-5.94%
Conditional Value-at-Risk (5%)-9.71%-9.17%
Upside Capture Ratio (%)98.89100.00
Downside Capture Ratio (%)103.60100.00
Safe Withdrawal Rate16.68%16.59%
Perpetual Withdrawal Rate6.23%7.00%
Positive Periods72 out of 110 (65.45%)71 out of 110 (64.55%)
Gain/Loss Ratio0.850.93
* Vanguard S&P Mid-Cap 400 ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P MidCap 400 Equal Weight ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20112.15%4.24%2.31%2.95%-0.60%-1.58%-3.52%-7.03%-9.99%14.18%-1.02%-0.34%-0.22%
20126.17%4.62%1.11%-0.90%-6.99%2.56%0.74%2.60%2.40%-1.02%2.04%2.39%16.19%
20137.10%0.98%4.43%0.68%2.78%-1.49%6.55%-2.68%4.65%4.06%0.93%2.85%34.97%
2014-1.29%5.54%0.28%-0.56%1.93%4.30%-4.11%4.79%-3.74%2.07%1.53%-0.48%10.19%
2015-1.99%5.68%0.12%0.15%0.78%-2.56%-0.70%-4.96%-4.60%6.73%0.16%-3.17%-4.95%
2016-7.43%1.86%9.29%2.05%1.69%0.03%4.75%0.89%-0.11%-3.46%9.71%2.44%22.52%
20171.27%1.84%-0.24%0.73%-0.99%1.64%0.70%-2.56%5.00%1.08%3.34%0.74%13.04%
20182.39%-5.04%1.08%0.43%4.17%1.13%1.62%2.38%-1.05%-9.33%2.56%-12.05%-12.45%
201911.97%4.08%-1.59%3.86%-9.22%7.84%0.36%-5.97%4.28%0.92%2.82%3.03%22.66%
2020-3.79%-10.24%-13.65%

Vanguard S&P Mid-Cap 400 ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20111.41%4.37%2.69%2.72%-1.48%-1.74%-3.84%-7.43%-9.17%12.72%-0.62%-0.47%-2.57%
20126.66%4.46%2.21%-0.62%-6.02%1.42%-0.05%3.52%1.84%-0.80%2.23%2.15%17.76%
20137.33%0.88%4.76%0.41%3.10%-2.56%6.36%-3.79%5.22%3.66%1.61%2.96%33.59%
2014-2.32%4.94%0.32%-1.55%1.74%4.16%-4.35%5.12%-4.48%3.50%1.83%0.82%9.51%
2015-1.14%5.11%1.25%-1.42%1.72%-1.27%0.10%-5.62%-3.16%5.48%1.38%-4.13%-2.31%
2016-5.72%1.33%8.63%1.24%2.24%0.02%4.68%0.46%-0.41%-2.86%8.08%1.89%20.36%
20171.84%2.60%-0.43%0.77%-0.45%1.58%0.96%-1.62%3.90%2.26%3.84%0.15%16.37%
20182.77%-4.45%1.09%-0.43%4.15%0.45%1.69%3.23%-1.15%-9.56%3.08%-11.35%-11.33%
201910.49%4.30%-0.61%4.02%-8.07%7.80%1.02%-4.07%3.05%1.10%3.01%2.76%26.17%
2020-2.58%-9.42%-11.76%

Invesco S&P MidCap 400 Equal Weight ETF Factor Regression

Invesco S&P MidCap 400 Equal Weight ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.060.390.24-1.86%95.03%
Carhart 4-factor model1.040.390.17-0.11-1.43%95.46%
Fama-French 5-factor model1.070.440.150.140.06-2.11%95.38%
Factor regression from Jan 2011 to Feb 2020. Statistically significant values in bold.

Vanguard S&P Mid-Cap 400 ETF Factor Regression

Vanguard S&P Mid-Cap 400 ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.010.390.13-0.95%95.62%
Carhart 4-factor model1.010.390.130.01-1.00%95.63%
Fama-French 5-factor model1.010.430.070.120.00-1.12%95.81%
Factor regression from Jan 2011 to Feb 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodInvesco S&P MidCap 400 Equal Weight ETFVanguard S&P Mid-Cap 400 ETF
AverageHighLowAverageHighLow
1 year10.76%35.84%-13.46%11.42%33.59%-11.33%
3 years11.37%23.58%0.55%11.99%21.82%3.21%
5 years10.40%15.88%3.34%11.21%16.12%5.39%
7 years11.35%15.51%7.68%12.01%15.96%8.98%