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PBJ vs. VDC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PBJ and VDC is 0.82, 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.


-0.50.00.51.00.8

Performance

PBJ vs. VDC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dynamic Food & Beverage ETF (PBJ) and Vanguard Consumer Staples ETF (VDC). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.71%
6.64%
PBJ
VDC

Key characteristics

Sharpe Ratio

PBJ:

0.34

VDC:

1.69

Sortino Ratio

PBJ:

0.55

VDC:

2.44

Omega Ratio

PBJ:

1.07

VDC:

1.29

Calmar Ratio

PBJ:

0.49

VDC:

2.63

Martin Ratio

PBJ:

1.10

VDC:

10.54

Ulcer Index

PBJ:

3.52%

VDC:

1.55%

Daily Std Dev

PBJ:

11.31%

VDC:

9.65%

Max Drawdown

PBJ:

-39.15%

VDC:

-34.24%

Current Drawdown

PBJ:

-4.60%

VDC:

-3.34%

Returns By Period

In the year-to-date period, PBJ achieves a 2.89% return, which is significantly lower than VDC's 15.22% return. Over the past 10 years, PBJ has underperformed VDC with an annualized return of 5.67%, while VDC has yielded a comparatively higher 8.27% annualized return.


PBJ

YTD

2.89%

1M

-0.51%

6M

2.87%

1Y

3.05%

5Y*

7.81%

10Y*

5.67%

VDC

YTD

15.22%

1M

0.66%

6M

6.36%

1Y

15.88%

5Y*

8.60%

10Y*

8.27%

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PBJ vs. VDC - Expense Ratio Comparison

PBJ has a 0.63% expense ratio, which is higher than VDC's 0.10% expense ratio.


PBJ
Invesco Dynamic Food & Beverage ETF
Expense ratio chart for PBJ: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for VDC: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

PBJ vs. VDC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Food & Beverage ETF (PBJ) and Vanguard Consumer Staples ETF (VDC). 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 PBJ, currently valued at 0.34, compared to the broader market0.002.004.000.341.69
The chart of Sortino ratio for PBJ, currently valued at 0.55, compared to the broader market-2.000.002.004.006.008.0010.000.552.44
The chart of Omega ratio for PBJ, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.29
The chart of Calmar ratio for PBJ, currently valued at 0.49, compared to the broader market0.005.0010.0015.000.492.63
The chart of Martin ratio for PBJ, currently valued at 1.10, compared to the broader market0.0020.0040.0060.0080.00100.001.1010.54
PBJ
VDC

The current PBJ Sharpe Ratio is 0.34, which is lower than the VDC Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of PBJ and VDC, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.34
1.69
PBJ
VDC

Dividends

PBJ vs. VDC - Dividend Comparison

PBJ's dividend yield for the trailing twelve months is around 0.74%, less than VDC's 2.29% yield.


TTM20232022202120202019201820172016201520142013
PBJ
Invesco Dynamic Food & Beverage ETF
0.74%1.80%1.81%0.90%1.12%1.21%1.41%0.70%1.56%1.24%1.32%0.85%
VDC
Vanguard Consumer Staples ETF
2.29%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%

Drawdowns

PBJ vs. VDC - Drawdown Comparison

The maximum PBJ drawdown since its inception was -39.15%, which is greater than VDC's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for PBJ and VDC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.60%
-3.34%
PBJ
VDC

Volatility

PBJ vs. VDC - Volatility Comparison

Invesco Dynamic Food & Beverage ETF (PBJ) has a higher volatility of 4.09% compared to Vanguard Consumer Staples ETF (VDC) at 2.89%. This indicates that PBJ's price experiences larger fluctuations and is considered to be riskier than VDC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
4.09%
2.89%
PBJ
VDC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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