PEJ vs. FXD

Last updated Jun 24, 2026

PEJ (Invesco Dynamic Leisure & Entertainment ETF) and FXD (First Trust Consumer Discretionary AlphaDEX Fund) are both Consumer Discretionary Equities funds - PEJ tracks the Dynamic Leisure and Entertainment Intellidex Index while FXD tracks the StrataQuant Consumer Discretionary Index. Both are passively managed. Over the past 10 years, PEJ returned 7.66%/yr vs 8.49%/yr for FXD. Their correlation of 0.82 suggests significant overlap in exposure. PEJ charges 0.55%/yr vs 0.63%/yr for FXD.

Performance

PEJ vs. FXD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dynamic Leisure & Entertainment ETF (PEJ) and First Trust Consumer Discretionary AlphaDEX Fund (FXD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PEJ achieves a 6.49% return, which is significantly higher than FXD's 0.06% return. Over the past 10 years, PEJ has underperformed FXD with an annualized return of 7.66%, while FXD has yielded a comparatively higher 8.49% annualized return.

PEJ

• 1D: 0.39%
• 1M: 7.52%
• YTD: 6.49%
• 6M: 5.49%
• 1Y: 18.98%
• 3Y*: 17.62%
• 5Y*: 4.82%
• 10Y*: 7.66%

FXD

• 1D: -0.09%
• 1M: 3.34%
• YTD: 0.06%
• 6M: -1.23%
• 1Y: 10.64%
• 3Y*: 9.79%
• 5Y*: 3.45%
• 10Y*: 8.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PEJ vs. FXD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PEJ Invesco Dynamic Leisure & Entertainment ETF	6.49%	17.78%	25.08%	15.73%	-25.37%	22.78%	-10.29%	13.82%	-9.31%	11.22%
FXD First Trust Consumer Discretionary AlphaDEX Fund	0.06%	6.70%	10.57%	23.39%	-21.56%	22.72%	12.97%	24.22%	-11.60%	19.77%

Correlation

The correlation between PEJ and FXD is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since May 10, 2007	0.82

The correlation between PEJ and FXD has been stable across timeframes, ranging from 0.82 to 0.86 - a consistent structural relationship.

PEJ vs. FXD - Sectors Allocation Comparison

Sectors	PEJ	FXD
Consumer Cyclical	59.4%	69.7%
Communication Services	30.1%	6.7%
Consumer Defensive	7.8%	9.2%
Technology	4.2%	2.5%
Industrials	2.6%	9.2%
Financial Services	0.1%	-
Basic Materials	-	-
Energy	-	0.8%
Healthcare	-	-
Real Estate	-	-
Utilities	-	-

Return for Risk

PEJ vs. FXD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PEJ

PEJ Risk / Return Rank: 33
PEJ Sharpe Ratio Rank: 30
PEJ Sortino Ratio Rank: 32
PEJ Omega Ratio Rank: 29
PEJ Calmar Ratio Rank: 39
PEJ Martin Ratio Rank: 34

FXD

FXD Risk / Return Rank: 18
FXD Sharpe Ratio Rank: 18
FXD Sortino Ratio Rank: 18
FXD Omega Ratio Rank: 16
FXD Calmar Ratio Rank: 18
FXD Martin Ratio Rank: 18

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PEJ vs. FXD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Leisure & Entertainment ETF (PEJ) and First Trust Consumer Discretionary AlphaDEX Fund (FXD). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PEJ	FXD	Difference
Sharpe ratio: Return per unit of total volatility	1.04	0.55	+0.49
Sortino ratio: Return per unit of downside risk	1.62	0.95	+0.67
Omega ratio: Gain probability vs. loss probability	1.19	1.10	+0.08
Calmar ratio: Return relative to maximum drawdown	1.85	0.77	+1.09
Martin ratio: Return relative to average drawdown	4.80	1.90	+2.90

PEJ vs. FXD - Sharpe Ratio Comparison

The current PEJ Sharpe Ratio is 1.04, which is higher than the FXD Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of PEJ and FXD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PEJ vs. FXD - Drawdown Comparison

The maximum PEJ drawdown since its inception was -66.03%, roughly equal to the maximum FXD drawdown of -65.27%. Use the drawdown chart below to compare losses from any high point for PEJ and FXD.

Drawdown Indicators

	PEJ	FXD	Difference
Max Drawdown Largest peak-to-trough decline	-66.03%	-65.27%	-0.76%
Max Drawdown (1Y) Largest decline over 1 year	-10.29%	-13.94%	+3.65%
Max Drawdown (3Y) Largest decline over 3 years	-25.75%	-26.02%	+0.27%
Max Drawdown (5Y) Largest decline over 5 years	-34.74%	-33.74%	-1.00%
Max Drawdown (10Y) Largest decline over 10 years	-58.96%	-49.54%	-9.42%
Current Drawdown Current decline from peak	-0.76%	-5.29%	+4.53%
Average Drawdown Average peak-to-trough decline	-12.29%	-10.95%	-1.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.97%	5.60%	-1.63%

Volatility

PEJ vs. FXD - Volatility Comparison

The current volatility for Invesco Dynamic Leisure & Entertainment ETF (PEJ) is 4.58%, while First Trust Consumer Discretionary AlphaDEX Fund (FXD) has a volatility of 5.62%. This indicates that PEJ experiences smaller price fluctuations and is considered to be less risky than FXD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEJ	FXD	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.58%	5.62%	-1.04%
Volatility (6M) Calculated over the trailing 6-month period	14.18%	14.77%	-0.59%
Volatility (1Y) Calculated over the trailing 1-year period	18.44%	19.48%	-1.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.77%	22.77%	0.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.73%	23.69%	+1.04%

PEJ vs. FXD - Expense Ratio Comparison

PEJ has a 0.55% expense ratio, which is lower than FXD's 0.63% expense ratio.

Dividends

PEJ vs. FXD - Dividend Comparison

PEJ's dividend yield for the trailing twelve months is around 0.51%, less than FXD's 0.76% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXD First Trust Consumer Discretionary AlphaDEX Fund	0.76%	0.80%	0.89%	0.70%	1.00%	0.62%	0.42%	0.92%	1.08%	0.93%	1.05%	0.90%
PEJ Invesco Dynamic Leisure & Entertainment ETF	0.51%	0.24%	0.40%	0.46%	0.43%	0.34%	0.92%	0.39%	0.78%	0.68%	0.68%	0.52%

Frequently Asked Questions

Can I hold both PEJ and FXD in my portfolio?

PEJ and FXD have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PEJ or FXD?

FXD has higher volatility (5.62%) compared to PEJ (4.58%). In terms of maximum drawdown, PEJ dropped -66.03% vs FXD's -65.27%.

Which ETF is better, PEJ or FXD?

On 10-year performance, FXD leads with 8.49% vs 7.66% for PEJ. On fees, PEJ is cheaper at 0.55% per year. On volatility, PEJ has been the lower-risk option at 4.58%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEJ or FXD?

Over the 10-year period, FXD has performed better with a 8.49% return vs 7.66%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEJ or FXD?

PEJ is cheaper with a 0.55% expense ratio, compared with 0.63% for FXD.

Which ETF pays a higher dividend yield, PEJ or FXD?

FXD has the higher dividend yield at 0.76%, compared with 0.51% for PEJ.

What is the main difference between PEJ and FXD?

PEJ tracks Dynamic Leisure and Entertainment Intellidex Index, while FXD tracks StrataQuant Consumer Discretionary Index. They also come from different issuers: Invesco and First Trust. Their fees differ too: 0.55% for PEJ and 0.63% for FXD.

Which has better risk-adjusted returns?

PEJ currently has the higher Sharpe Ratio (1.04 vs 0.55), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.