PDP vs. SPY
Compare and contrast key facts about Invesco DWA Momentum ETF (PDP) and SPDR S&P 500 ETF (SPY).
PDP and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PDP is a passively managed fund by Invesco that tracks the performance of the Dorsey Wright Technical Leaders Index. It was launched on Mar 1, 2007. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both PDP and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PDP or SPY.
Performance
PDP vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, PDP achieves a 35.43% return, which is significantly higher than SPY's 26.47% return. Over the past 10 years, PDP has underperformed SPY with an annualized return of 11.13%, while SPY has yielded a comparatively higher 13.14% annualized return.
PDP
35.43%
9.76%
17.57%
43.00%
13.44%
11.13%
SPY
26.47%
3.03%
13.19%
32.65%
15.68%
13.14%
Key characteristics
| PDP | SPY | |
|---|---|---|
| Sharpe Ratio | 2.53 | 2.69 |
| Sortino Ratio | 3.41 | 3.59 |
| Omega Ratio | 1.43 | 1.50 |
| Calmar Ratio | 2.17 | 3.88 |
| Martin Ratio | 15.13 | 17.47 |
| Ulcer Index | 2.84% | 1.87% |
| Daily Std Dev | 16.98% | 12.14% |
| Max Drawdown | -59.34% | -55.19% |
| Current Drawdown | 0.00% | -0.54% |
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PDP vs. SPY - Expense Ratio Comparison
PDP has a 0.62% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between PDP and SPY is 0.88, 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.
Risk-Adjusted Performance
PDP vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Momentum ETF (PDP) 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.
Dividends
PDP vs. SPY - Dividend Comparison
PDP's dividend yield for the trailing twelve months is around 0.11%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PDP Invesco DWA Momentum ETF | 0.11% | 0.42% | 0.45% | 0.00% | 0.11% | 0.25% | 0.18% | 0.28% | 0.81% | 0.39% | 0.15% | 0.28% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
PDP vs. SPY - Drawdown Comparison
The maximum PDP drawdown since its inception was -59.34%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PDP and SPY. For additional features, visit the drawdowns tool.
Volatility
PDP vs. SPY - Volatility Comparison
Invesco DWA Momentum ETF (PDP) has a higher volatility of 5.80% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that PDP's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.