PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PBP vs. XYLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PBPXYLD
YTD Return13.88%13.89%
1Y Return19.82%19.33%
3Y Return (Ann)4.58%4.28%
5Y Return (Ann)5.78%6.44%
10Y Return (Ann)5.91%6.72%
Sharpe Ratio2.813.04
Sortino Ratio3.844.12
Omega Ratio1.651.82
Calmar Ratio2.562.45
Martin Ratio23.2325.89
Ulcer Index0.87%0.77%
Daily Std Dev7.18%6.60%
Max Drawdown-43.43%-33.46%
Current Drawdown-0.40%-0.19%

Correlation

-0.50.00.51.00.7

The correlation between PBP and XYLD is 0.69, 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

PBP vs. XYLD - Performance Comparison

The year-to-date returns for both investments are quite close, with PBP having a 13.88% return and XYLD slightly higher at 13.89%. Over the past 10 years, PBP has underperformed XYLD with an annualized return of 5.91%, while XYLD has yielded a comparatively higher 6.72% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctober
9.00%
9.06%
PBP
XYLD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PBP vs. XYLD - Expense Ratio Comparison

PBP has a 0.49% expense ratio, which is lower than XYLD's 0.60% expense ratio.


XYLD
Global X S&P 500 Covered Call ETF
Expense ratio chart for XYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for PBP: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

PBP vs. XYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 BuyWrite ETF (PBP) and Global X S&P 500 Covered Call ETF (XYLD). 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.


PBP
Sharpe ratio
The chart of Sharpe ratio for PBP, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Sortino ratio
The chart of Sortino ratio for PBP, currently valued at 3.84, compared to the broader market0.005.0010.003.84
Omega ratio
The chart of Omega ratio for PBP, currently valued at 1.65, compared to the broader market1.001.502.002.503.003.501.65
Calmar ratio
The chart of Calmar ratio for PBP, currently valued at 2.56, compared to the broader market0.005.0010.0015.002.56
Martin ratio
The chart of Martin ratio for PBP, currently valued at 23.23, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.23
XYLD
Sharpe ratio
The chart of Sharpe ratio for XYLD, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for XYLD, currently valued at 4.12, compared to the broader market0.005.0010.004.12
Omega ratio
The chart of Omega ratio for XYLD, currently valued at 1.82, compared to the broader market1.001.502.002.503.003.501.82
Calmar ratio
The chart of Calmar ratio for XYLD, currently valued at 2.45, compared to the broader market0.005.0010.0015.002.45
Martin ratio
The chart of Martin ratio for XYLD, currently valued at 25.89, compared to the broader market0.0020.0040.0060.0080.00100.00120.0025.89

PBP vs. XYLD - Sharpe Ratio Comparison

The current PBP Sharpe Ratio is 2.81, which is comparable to the XYLD Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of PBP and XYLD, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctober
2.81
3.04
PBP
XYLD

Dividends

PBP vs. XYLD - Dividend Comparison

PBP's dividend yield for the trailing twelve months is around 9.47%, more than XYLD's 9.25% yield.


TTM20232022202120202019201820172016201520142013
PBP
Invesco S&P 500 BuyWrite ETF
9.47%3.35%1.33%6.21%1.41%5.55%2.59%10.86%2.56%5.21%4.96%6.62%
XYLD
Global X S&P 500 Covered Call ETF
9.25%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.23%4.65%4.14%2.49%

Drawdowns

PBP vs. XYLD - Drawdown Comparison

The maximum PBP drawdown since its inception was -43.43%, which is greater than XYLD's maximum drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for PBP and XYLD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober
-0.40%
-0.19%
PBP
XYLD

Volatility

PBP vs. XYLD - Volatility Comparison

Invesco S&P 500 BuyWrite ETF (PBP) has a higher volatility of 1.23% compared to Global X S&P 500 Covered Call ETF (XYLD) at 1.01%. This indicates that PBP's price experiences larger fluctuations and is considered to be riskier than XYLD 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%5.00%JuneJulyAugustSeptemberOctober
1.23%
1.01%
PBP
XYLD