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KBWY vs. VNQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


KBWYVNQ
YTD Return7.13%11.17%
1Y Return28.77%31.56%
3Y Return (Ann)1.22%-0.70%
5Y Return (Ann)-0.47%4.76%
10Y Return (Ann)2.20%6.18%
Sharpe Ratio1.371.92
Sortino Ratio2.052.75
Omega Ratio1.261.35
Calmar Ratio0.941.06
Martin Ratio3.447.36
Ulcer Index8.64%4.46%
Daily Std Dev21.70%17.07%
Max Drawdown-57.68%-73.07%
Current Drawdown-10.67%-8.30%

Correlation

-0.50.00.51.00.8

The correlation between KBWY and VNQ is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

KBWY vs. VNQ - Performance Comparison

In the year-to-date period, KBWY achieves a 7.13% return, which is significantly lower than VNQ's 11.17% return. Over the past 10 years, KBWY has underperformed VNQ with an annualized return of 2.20%, while VNQ has yielded a comparatively higher 6.18% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
17.50%
17.12%
KBWY
VNQ

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KBWY vs. VNQ - Expense Ratio Comparison

KBWY has a 0.35% expense ratio, which is higher than VNQ's 0.12% expense ratio.


KBWY
Invesco KBW Premium Yield Equity REIT ETF
Expense ratio chart for KBWY: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

KBWY vs. VNQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco KBW Premium Yield Equity REIT ETF (KBWY) and Vanguard Real Estate ETF (VNQ). 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.


KBWY
Sharpe ratio
The chart of Sharpe ratio for KBWY, currently valued at 1.37, compared to the broader market-2.000.002.004.006.001.37
Sortino ratio
The chart of Sortino ratio for KBWY, currently valued at 2.04, compared to the broader market0.005.0010.002.05
Omega ratio
The chart of Omega ratio for KBWY, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for KBWY, currently valued at 0.94, compared to the broader market0.005.0010.0015.000.94
Martin ratio
The chart of Martin ratio for KBWY, currently valued at 3.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.44
VNQ
Sharpe ratio
The chart of Sharpe ratio for VNQ, currently valued at 1.92, compared to the broader market-2.000.002.004.006.001.92
Sortino ratio
The chart of Sortino ratio for VNQ, currently valued at 2.75, compared to the broader market0.005.0010.002.75
Omega ratio
The chart of Omega ratio for VNQ, currently valued at 1.35, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for VNQ, currently valued at 1.06, compared to the broader market0.005.0010.0015.001.06
Martin ratio
The chart of Martin ratio for VNQ, currently valued at 7.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.36

KBWY vs. VNQ - Sharpe Ratio Comparison

The current KBWY Sharpe Ratio is 1.37, which is comparable to the VNQ Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of KBWY and VNQ, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.37
1.92
KBWY
VNQ

Dividends

KBWY vs. VNQ - Dividend Comparison

KBWY's dividend yield for the trailing twelve months is around 7.80%, more than VNQ's 3.82% yield.


TTM20232022202120202019201820172016201520142013
KBWY
Invesco KBW Premium Yield Equity REIT ETF
7.80%7.90%7.41%5.06%10.35%6.19%8.64%7.25%6.55%5.72%4.57%4.85%
VNQ
Vanguard Real Estate ETF
3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

Drawdowns

KBWY vs. VNQ - Drawdown Comparison

The maximum KBWY drawdown since its inception was -57.68%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for KBWY and VNQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-10.67%
-8.30%
KBWY
VNQ

Volatility

KBWY vs. VNQ - Volatility Comparison

The current volatility for Invesco KBW Premium Yield Equity REIT ETF (KBWY) is 4.42%, while Vanguard Real Estate ETF (VNQ) has a volatility of 5.22%. This indicates that KBWY experiences smaller price fluctuations and is considered to be less risky than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.42%
5.22%
KBWY
VNQ