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

Key characteristics


FPEIPGF
YTD Return10.73%10.05%
1Y Return17.57%16.29%
3Y Return (Ann)2.61%-1.00%
5Y Return (Ann)4.23%1.35%
Sharpe Ratio4.731.79
Sortino Ratio7.812.50
Omega Ratio2.111.34
Calmar Ratio2.010.96
Martin Ratio37.089.41
Ulcer Index0.48%1.84%
Daily Std Dev3.75%9.66%
Max Drawdown-27.51%-75.69%
Current Drawdown-0.73%-4.70%

Correlation

-0.50.00.51.00.4

The correlation between FPEI and PGF is 0.41, 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. PGF - Performance Comparison

In the year-to-date period, FPEI achieves a 10.73% return, which is significantly higher than PGF's 10.05% 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%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.36%
6.94%
FPEI
PGF

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FPEI vs. PGF - Expense Ratio Comparison

FPEI has a 0.85% expense ratio, which is higher than PGF's 0.62% 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 PGF: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%

Risk-Adjusted Performance

FPEI vs. PGF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Institutional Preferred Securities & Income ETF (FPEI) and Invesco Financial Preferred ETF (PGF). 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 4.73, compared to the broader market-2.000.002.004.004.73
Sortino ratio
The chart of Sortino ratio for FPEI, currently valued at 7.81, compared to the broader market0.005.0010.007.81
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 2.01, compared to the broader market0.005.0010.0015.002.01
Martin ratio
The chart of Martin ratio for FPEI, currently valued at 37.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.0037.08
PGF
Sharpe ratio
The chart of Sharpe ratio for PGF, currently valued at 1.79, compared to the broader market-2.000.002.004.001.79
Sortino ratio
The chart of Sortino ratio for PGF, currently valued at 2.50, compared to the broader market0.005.0010.002.50
Omega ratio
The chart of Omega ratio for PGF, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for PGF, currently valued at 0.96, compared to the broader market0.005.0010.0015.000.96
Martin ratio
The chart of Martin ratio for PGF, currently valued at 9.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.41

FPEI vs. PGF - Sharpe Ratio Comparison

The current FPEI Sharpe Ratio is 4.73, which is higher than the PGF Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of FPEI and PGF, 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
4.73
1.79
FPEI
PGF

Dividends

FPEI vs. PGF - Dividend Comparison

FPEI's dividend yield for the trailing twelve months is around 5.50%, less than PGF's 6.26% yield.


TTM20232022202120202019201820172016201520142013
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.50%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%0.00%
PGF
Invesco Financial Preferred ETF
6.26%6.14%5.97%4.67%4.90%5.14%5.74%5.32%5.92%5.60%5.92%6.63%

Drawdowns

FPEI vs. PGF - Drawdown Comparison

The maximum FPEI drawdown since its inception was -27.51%, smaller than the maximum PGF drawdown of -75.69%. Use the drawdown chart below to compare losses from any high point for FPEI and PGF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.73%
-4.70%
FPEI
PGF

Volatility

FPEI vs. PGF - Volatility Comparison

The current volatility for First Trust Institutional Preferred Securities & Income ETF (FPEI) is 0.78%, while Invesco Financial Preferred ETF (PGF) has a volatility of 3.54%. This indicates that FPEI experiences smaller price fluctuations and is considered to be less risky than PGF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
0.78%
3.54%
FPEI
PGF