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

Key characteristics


FPEIPFFA
YTD Return10.85%18.74%
1Y Return16.87%32.66%
3Y Return (Ann)2.64%6.44%
5Y Return (Ann)4.23%6.71%
Sharpe Ratio4.723.75
Sortino Ratio7.805.21
Omega Ratio2.111.77
Calmar Ratio2.113.14
Martin Ratio36.9331.34
Ulcer Index0.48%1.05%
Daily Std Dev3.75%8.77%
Max Drawdown-27.51%-70.52%
Current Drawdown-0.63%-1.40%

Correlation

-0.50.00.51.00.4

The correlation between FPEI and PFFA is 0.43, 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.

Performance

FPEI vs. PFFA - Performance Comparison

In the year-to-date period, FPEI achieves a 10.85% return, which is significantly lower than PFFA's 18.74% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
5.96%
12.55%
FPEI
PFFA

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FPEI vs. PFFA - Expense Ratio Comparison

FPEI has a 0.85% expense ratio, which is lower than PFFA's 1.47% expense ratio.


PFFA
Virtus InfraCap U.S. Preferred Stock ETF
Expense ratio chart for PFFA: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
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%

Risk-Adjusted Performance

FPEI vs. PFFA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Institutional Preferred Securities & Income ETF (FPEI) and Virtus InfraCap U.S. Preferred Stock ETF (PFFA). 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.


FPEI
Sharpe ratio
The chart of Sharpe ratio for FPEI, currently valued at 4.72, compared to the broader market-2.000.002.004.006.004.72
Sortino ratio
The chart of Sortino ratio for FPEI, currently valued at 7.80, compared to the broader market0.005.0010.007.80
Omega ratio
The chart of Omega ratio for FPEI, currently valued at 2.11, compared to the broader market1.001.502.002.503.002.11
Calmar ratio
The chart of Calmar ratio for FPEI, currently valued at 2.11, compared to the broader market0.005.0010.0015.002.11
Martin ratio
The chart of Martin ratio for FPEI, currently valued at 36.93, compared to the broader market0.0020.0040.0060.0080.00100.00120.0036.93
PFFA
Sharpe ratio
The chart of Sharpe ratio for PFFA, currently valued at 3.72, compared to the broader market-2.000.002.004.006.003.72
Sortino ratio
The chart of Sortino ratio for PFFA, currently valued at 5.18, compared to the broader market0.005.0010.005.18
Omega ratio
The chart of Omega ratio for PFFA, currently valued at 1.76, compared to the broader market1.001.502.002.503.001.76
Calmar ratio
The chart of Calmar ratio for PFFA, currently valued at 3.29, compared to the broader market0.005.0010.0015.003.29
Martin ratio
The chart of Martin ratio for PFFA, currently valued at 31.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.0031.03

FPEI vs. PFFA - Sharpe Ratio Comparison

The current FPEI Sharpe Ratio is 4.72, which is comparable to the PFFA Sharpe Ratio of 3.75. The chart below compares the historical Sharpe Ratios of FPEI and PFFA, 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 Ratio2.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.72
3.72
FPEI
PFFA

Dividends

FPEI vs. PFFA - Dividend Comparison

FPEI's dividend yield for the trailing twelve months is around 5.49%, less than PFFA's 8.84% yield.


TTM2023202220212020201920182017
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.49%5.75%5.20%4.46%4.91%5.02%5.83%1.49%
PFFA
Virtus InfraCap U.S. Preferred Stock ETF
8.84%9.56%10.78%7.64%8.54%10.02%5.15%0.00%

Drawdowns

FPEI vs. PFFA - Drawdown Comparison

The maximum FPEI drawdown since its inception was -27.51%, smaller than the maximum PFFA drawdown of -70.52%. Use the drawdown chart below to compare losses from any high point for FPEI and PFFA. For additional features, visit the drawdowns tool.


-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.63%
-1.40%
FPEI
PFFA

Volatility

FPEI vs. PFFA - Volatility Comparison

The current volatility for First Trust Institutional Preferred Securities & Income ETF (FPEI) is 0.78%, while Virtus InfraCap U.S. Preferred Stock ETF (PFFA) has a volatility of 2.29%. This indicates that FPEI experiences smaller price fluctuations and is considered to be less risky than PFFA 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
0.78%
2.29%
FPEI
PFFA