PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Invesco S&P 500® High Beta ETF (SPHB)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISIN

US46138E3707

CUSIP

46138E370

Issuer

Invesco

Inception Date

May 5, 2011

Region

North America (U.S.)

Leveraged

1x

Index Tracked

S&P 500 High Beta Index

Asset Class

Equity

Asset Class Size

Large-Cap

Asset Class Style

Blend

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
SPHB vs. SPLV SPHB vs. VSDA SPHB vs. XSVM SPHB vs. QQQ SPHB vs. SCHD SPHB vs. TECL SPHB vs. SPGP SPHB vs. COWZ SPHB vs. FTEC SPHB vs. IVV
Popular comparisons:
SPHB vs. SPLV SPHB vs. VSDA SPHB vs. XSVM SPHB vs. QQQ SPHB vs. SCHD SPHB vs. TECL SPHB vs. SPGP SPHB vs. COWZ SPHB vs. FTEC SPHB vs. IVV

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Invesco S&P 500® High Beta ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.87%
11.19%
SPHB (Invesco S&P 500® High Beta ETF)
Benchmark (^GSPC)

Returns By Period

Invesco S&P 500® High Beta ETF had a return of 9.85% year-to-date (YTD) and 25.11% in the last 12 months. Over the past 10 years, Invesco S&P 500® High Beta ETF had an annualized return of 11.56%, while the S&P 500 benchmark had an annualized return of 11.14%, indicating that Invesco S&P 500® High Beta ETF performed slightly bigger than the benchmark.


SPHB

YTD

9.85%

1M

-1.07%

6M

5.87%

1Y

25.11%

5Y (annualized)

17.20%

10Y (annualized)

11.56%

^GSPC (Benchmark)

YTD

24.05%

1M

0.89%

6M

11.19%

1Y

30.12%

5Y (annualized)

13.82%

10Y (annualized)

11.14%

Monthly Returns

The table below presents the monthly returns of SPHB, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.45%4.91%4.38%-6.56%1.46%1.74%2.95%-1.36%4.21%-2.94%9.85%
202316.16%-2.32%-0.89%-3.90%2.42%11.13%5.52%-5.68%-7.58%-8.36%13.95%12.80%33.28%
2022-5.86%1.59%0.74%-11.48%1.37%-13.87%15.71%-4.92%-10.90%8.69%9.46%-8.55%-20.59%
2021-0.63%18.45%4.27%4.90%5.18%-1.19%-3.69%2.72%-1.96%7.51%-2.63%3.48%40.58%
2020-4.07%-9.21%-26.80%19.31%9.15%5.62%2.22%6.92%-4.57%1.76%25.90%7.14%25.56%
201912.95%3.86%0.52%6.23%-11.68%10.27%0.37%-5.89%2.64%2.39%4.70%5.64%33.96%
20185.88%-3.78%-1.57%-1.29%4.72%-1.60%2.91%2.33%-0.36%-12.88%1.97%-11.17%-15.55%
20171.98%1.23%-0.35%-1.38%-1.59%2.51%2.61%-2.83%6.83%1.75%3.56%2.61%17.87%
2016-12.30%0.16%12.02%6.56%-0.03%-4.03%6.27%3.40%2.06%-1.73%12.88%0.86%26.21%
2015-4.51%7.52%-1.98%2.71%-1.45%-2.99%-4.11%-5.07%-6.44%10.37%0.41%-6.56%-12.85%
2014-3.66%5.70%0.23%0.16%2.25%4.63%-2.86%5.51%-2.64%2.53%1.24%-0.52%12.68%
20137.66%-1.78%3.32%-0.38%7.01%-2.49%5.54%-2.19%5.64%5.59%3.05%4.40%40.68%

Expense Ratio

SPHB has an expense ratio of 0.25%, which is considered low compared to other funds.


Expense ratio chart for SPHB: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SPHB is 46, suggesting that the investment has average results relative to other ETFs in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of SPHB is 4646
Combined Rank
The Sharpe Ratio Rank of SPHB is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of SPHB is 4242
Sortino Ratio Rank
The Omega Ratio Rank of SPHB is 4242
Omega Ratio Rank
The Calmar Ratio Rank of SPHB is 6060
Calmar Ratio Rank
The Martin Ratio Rank of SPHB is 4545
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Invesco S&P 500® High Beta ETF (SPHB) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for SPHB, currently valued at 1.27, compared to the broader market0.002.004.006.001.272.54
The chart of Sortino ratio for SPHB, currently valued at 1.77, compared to the broader market-2.000.002.004.006.008.0010.0012.001.773.40
The chart of Omega ratio for SPHB, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.47
The chart of Calmar ratio for SPHB, currently valued at 1.87, compared to the broader market0.005.0010.0015.001.873.66
The chart of Martin ratio for SPHB, currently valued at 5.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.9816.28
SPHB
^GSPC

The current Invesco S&P 500® High Beta ETF Sharpe ratio is 1.27. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Invesco S&P 500® High Beta ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.27
2.54
SPHB (Invesco S&P 500® High Beta ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Invesco S&P 500® High Beta ETF provided a 0.85% dividend yield over the last twelve months, with an annual payout of $0.76 per share.


0.60%0.80%1.00%1.20%1.40%1.60%1.80%2.00%$0.00$0.20$0.40$0.60$0.80$1.0020132014201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM20232022202120202019201820172016201520142013
Dividend$0.76$0.60$0.45$0.72$1.08$0.59$0.69$0.57$0.34$0.50$0.34$0.21

Dividend yield

0.85%0.73%0.72%0.91%1.90%1.26%1.96%1.34%0.93%1.69%0.98%0.69%

Monthly Dividends

The table displays the monthly dividend distributions for Invesco S&P 500® High Beta ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.27$0.00$0.00$0.18$0.00$0.00$0.15$0.00$0.00$0.59
2023$0.00$0.00$0.12$0.00$0.00$0.13$0.00$0.00$0.18$0.00$0.00$0.17$0.60
2022$0.00$0.00$0.17$0.00$0.00$0.10$0.00$0.00$0.07$0.00$0.00$0.11$0.45
2021$0.00$0.00$0.15$0.00$0.00$0.22$0.00$0.00$0.19$0.00$0.00$0.16$0.72
2020$0.00$0.00$0.46$0.00$0.00$0.17$0.00$0.00$0.20$0.00$0.00$0.25$1.08
2019$0.00$0.00$0.05$0.00$0.00$0.22$0.00$0.00$0.14$0.00$0.00$0.18$0.59
2018$0.00$0.00$0.12$0.00$0.00$0.27$0.00$0.00$0.14$0.00$0.00$0.17$0.69
2017$0.00$0.00$0.05$0.00$0.00$0.23$0.00$0.00$0.15$0.00$0.00$0.14$0.57
2016$0.00$0.00$0.02$0.00$0.00$0.07$0.00$0.00$0.05$0.00$0.00$0.19$0.34
2015$0.00$0.00$0.05$0.00$0.00$0.15$0.00$0.00$0.14$0.00$0.00$0.17$0.50
2014$0.00$0.00$0.11$0.00$0.00$0.07$0.00$0.00$0.03$0.00$0.00$0.12$0.34
2013$0.03$0.00$0.00$0.04$0.00$0.00$0.05$0.00$0.00$0.09$0.21

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.76%
-1.41%
SPHB (Invesco S&P 500® High Beta ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Invesco S&P 500® High Beta ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Invesco S&P 500® High Beta ETF was 46.84%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current Invesco S&P 500® High Beta ETF drawdown is 2.76%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.84%Jan 21, 202044Mar 23, 202053Jun 8, 202097
-38.3%May 11, 201191Oct 3, 2011362Mar 14, 2013453
-34.5%Apr 24, 2015203Feb 11, 2016193Nov 15, 2016396
-31.5%Nov 9, 2021235Oct 14, 2022293Dec 14, 2023528
-27.73%Sep 21, 201865Dec 24, 2018244Dec 12, 2019309

Volatility

Volatility Chart

The current Invesco S&P 500® High Beta ETF volatility is 6.05%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.05%
4.07%
SPHB (Invesco S&P 500® High Beta ETF)
Benchmark (^GSPC)