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PCEF vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PCEF and SPY is 0.73, 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.


-0.50.00.51.00.7

Performance

PCEF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CEF Income Composite ETF (PCEF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.18%
8.25%
PCEF
SPY

Key characteristics

Sharpe Ratio

PCEF:

1.89

SPY:

2.17

Sortino Ratio

PCEF:

2.50

SPY:

2.88

Omega Ratio

PCEF:

1.36

SPY:

1.41

Calmar Ratio

PCEF:

1.29

SPY:

3.19

Martin Ratio

PCEF:

11.31

SPY:

14.10

Ulcer Index

PCEF:

1.37%

SPY:

1.90%

Daily Std Dev

PCEF:

8.18%

SPY:

12.39%

Max Drawdown

PCEF:

-38.64%

SPY:

-55.19%

Current Drawdown

PCEF:

-4.08%

SPY:

-3.19%

Returns By Period

In the year-to-date period, PCEF achieves a 15.20% return, which is significantly lower than SPY's 24.97% return. Over the past 10 years, PCEF has underperformed SPY with an annualized return of 6.02%, while SPY has yielded a comparatively higher 12.92% annualized return.


PCEF

YTD

15.20%

1M

-1.51%

6M

6.19%

1Y

15.91%

5Y*

4.51%

10Y*

6.02%

SPY

YTD

24.97%

1M

-0.32%

6M

8.25%

1Y

26.85%

5Y*

14.57%

10Y*

12.92%

Compare stocks, funds, or ETFs

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


PCEF vs. SPY - Expense Ratio Comparison

PCEF has a 2.34% expense ratio, which is higher than SPY's 0.09% expense ratio.


PCEF
Invesco CEF Income Composite ETF
Expense ratio chart for PCEF: current value at 2.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.34%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

PCEF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CEF Income Composite ETF (PCEF) and SPDR S&P 500 ETF (SPY). 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 PCEF, currently valued at 1.95, compared to the broader market0.002.004.001.952.17
The chart of Sortino ratio for PCEF, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.002.572.88
The chart of Omega ratio for PCEF, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.41
The chart of Calmar ratio for PCEF, currently valued at 1.36, compared to the broader market0.005.0010.0015.001.363.19
The chart of Martin ratio for PCEF, currently valued at 11.44, compared to the broader market0.0020.0040.0060.0080.00100.0011.4414.10
PCEF
SPY

The current PCEF Sharpe Ratio is 1.89, which is comparable to the SPY Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of PCEF and SPY, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.95
2.17
PCEF
SPY

Dividends

PCEF vs. SPY - Dividend Comparison

PCEF's dividend yield for the trailing twelve months is around 8.13%, more than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
PCEF
Invesco CEF Income Composite ETF
8.13%9.85%8.93%6.67%7.55%7.12%8.21%6.96%7.12%9.18%8.03%8.13%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PCEF vs. SPY - Drawdown Comparison

The maximum PCEF drawdown since its inception was -38.64%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PCEF and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.08%
-3.19%
PCEF
SPY

Volatility

PCEF vs. SPY - Volatility Comparison

The current volatility for Invesco CEF Income Composite ETF (PCEF) is 2.67%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.64%. This indicates that PCEF experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.67%
3.64%
PCEF
SPY
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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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