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FPEI vs. PFF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FPEI vs. PFF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Institutional Preferred Securities & Income ETF (FPEI) and iShares Preferred and Income Securities ETF (PFF). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.89%
7.03%
FPEI
PFF

Returns By Period

The year-to-date returns for both investments are quite close, with FPEI having a 10.03% return and PFF slightly higher at 10.37%.


FPEI

YTD

10.03%

1M

-0.64%

6M

4.89%

1Y

15.49%

5Y (annualized)

4.08%

10Y (annualized)

N/A

PFF

YTD

10.37%

1M

-0.29%

6M

7.03%

1Y

16.37%

5Y (annualized)

2.97%

10Y (annualized)

3.68%

Key characteristics


FPEIPFF
Sharpe Ratio4.182.03
Sortino Ratio6.742.84
Omega Ratio1.951.37
Calmar Ratio1.951.06
Martin Ratio30.6710.87
Ulcer Index0.50%1.51%
Daily Std Dev3.71%8.05%
Max Drawdown-27.51%-65.55%
Current Drawdown-1.37%-1.92%

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FPEI vs. PFF - Expense Ratio Comparison

FPEI has a 0.85% expense ratio, which is higher than PFF's 0.46% expense ratio.


FPEI
First Trust Institutional Preferred Securities & Income ETF
Expense ratio chart for FPEI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for PFF: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%

Correlation

-0.50.00.51.00.5

The correlation between FPEI and PFF is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

FPEI vs. PFF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Institutional Preferred Securities & Income ETF (FPEI) and iShares Preferred and Income Securities ETF (PFF). 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 FPEI, currently valued at 4.18, compared to the broader market0.002.004.004.182.03
The chart of Sortino ratio for FPEI, currently valued at 6.74, compared to the broader market-2.000.002.004.006.008.0010.0012.006.742.84
The chart of Omega ratio for FPEI, currently valued at 1.95, compared to the broader market0.501.001.502.002.503.001.951.37
The chart of Calmar ratio for FPEI, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.951.06
The chart of Martin ratio for FPEI, currently valued at 30.67, compared to the broader market0.0020.0040.0060.0080.00100.0030.6710.87
FPEI
PFF

The current FPEI Sharpe Ratio is 4.18, which is higher than the PFF Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of FPEI and PFF, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.18
2.03
FPEI
PFF

Dividends

FPEI vs. PFF - Dividend Comparison

FPEI's dividend yield for the trailing twelve months is around 5.07%, less than PFF's 6.15% yield.


TTM20232022202120202019201820172016201520142013
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.07%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%0.00%
PFF
iShares Preferred and Income Securities ETF
6.15%6.63%5.55%4.45%4.79%5.31%6.31%5.59%5.85%5.77%6.32%6.61%

Drawdowns

FPEI vs. PFF - Drawdown Comparison

The maximum FPEI drawdown since its inception was -27.51%, smaller than the maximum PFF drawdown of -65.55%. Use the drawdown chart below to compare losses from any high point for FPEI and PFF. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-1.92%
FPEI
PFF

Volatility

FPEI vs. PFF - Volatility Comparison

The current volatility for First Trust Institutional Preferred Securities & Income ETF (FPEI) is 0.84%, while iShares Preferred and Income Securities ETF (PFF) has a volatility of 2.56%. This indicates that FPEI experiences smaller price fluctuations and is considered to be less risky than PFF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
0.84%
2.56%
FPEI
PFF