PEJ vs. SPHD
PEJ (Invesco Dynamic Leisure & Entertainment ETF) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - PEJ is a Consumer Discretionary Equities fund tracking the Dynamic Leisure and Entertainment Intellidex Index, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past 10 years, PEJ returned 7.66%/yr vs 7.55%/yr for SPHD. A 0.57 correlation means they provide meaningful diversification when combined. PEJ charges 0.55%/yr vs 0.30%/yr for SPHD.
Performance
PEJ vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, PEJ achieves a 6.49% return, which is significantly lower than SPHD's 8.20% return. Both investments have delivered pretty close results over the past 10 years, with PEJ having a 7.66% annualized return and SPHD not far behind at 7.55%.
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%
SPHD
- 1D
- 1.63%
- 1M
- 0.82%
- YTD
- 8.20%
- 6M
- 8.56%
- 1Y
- 12.09%
- 3Y*
- 12.70%
- 5Y*
- 7.06%
- 10Y*
- 7.55%
PEJ vs. SPHD - 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% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.20% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 20.26% | -6.17% | 11.90% |
Correlation
The correlation between PEJ and SPHD is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.37 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.44 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012 | 0.57 |
The correlation between PEJ and SPHD shifts across timeframes, from 0.37 (1 year) to 0.57 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PEJ vs. SPHD — Risk / Return Rank
PEJ
SPHD
PEJ vs. SPHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Leisure & Entertainment ETF (PEJ) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.18 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.85 | 1.66 | +0.20 |
| Martin ratioReturn relative to average drawdown | 4.80 | 4.06 | +0.74 |
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Drawdowns
PEJ vs. SPHD - Drawdown Comparison
The maximum PEJ drawdown since its inception was -66.03%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for PEJ and SPHD.
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Drawdown Indicators
| PEJ | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.03% | -41.39% | -24.64% |
Max Drawdown (1Y)Largest decline over 1 year | -10.29% | -7.33% | -2.96% |
Max Drawdown (3Y)Largest decline over 3 years | -25.75% | -13.29% | -12.46% |
Max Drawdown (5Y)Largest decline over 5 years | -34.74% | -19.50% | -15.24% |
Max Drawdown (10Y)Largest decline over 10 years | -58.96% | -41.39% | -17.57% |
Current DrawdownCurrent decline from peak | -0.76% | -1.91% | +1.15% |
Average DrawdownAverage peak-to-trough decline | -12.29% | -4.69% | -7.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.97% | 2.98% | +0.99% |
Volatility
PEJ vs. SPHD - Volatility Comparison
Invesco Dynamic Leisure & Entertainment ETF (PEJ) has a higher volatility of 4.58% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 4.26%. This indicates that PEJ's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PEJ | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.58% | 4.26% | +0.32% |
Volatility (6M)Calculated over the trailing 6-month period | 14.18% | 8.13% | +6.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.44% | 11.48% | +6.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.77% | 14.16% | +8.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.73% | 17.65% | +7.08% |
PEJ vs. SPHD - Expense Ratio Comparison
PEJ has a 0.55% expense ratio, which is higher than SPHD's 0.30% expense ratio.
Dividends
PEJ vs. SPHD - Dividend Comparison
PEJ's dividend yield for the trailing twelve months is around 0.51%, less than SPHD's 4.60% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.60% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
PEJ and SPHD have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PEJ has higher volatility (4.58%) compared to SPHD (4.26%). In terms of maximum drawdown, PEJ dropped -66.03% vs SPHD's -41.39%.
On 10-year performance, PEJ leads with 7.66% vs 7.55% for SPHD. On fees, SPHD is cheaper at 0.30% per year. On volatility, SPHD has been the lower-risk option at 4.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, PEJ has performed better with a 7.66% return vs 7.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHD is cheaper with a 0.30% expense ratio, compared with 0.55% for PEJ.
SPHD has the higher dividend yield at 4.60%, compared with 0.51% for PEJ.
PEJ is categorized as Consumer Discretionary Equities, while SPHD is Dividend. PEJ tracks Dynamic Leisure and Entertainment Intellidex Index, while SPHD tracks S&P 500 Low Volatility High Dividend Index. Their fees differ too: 0.55% for PEJ and 0.30% for SPHD.
SPHD currently has the higher Sharpe Ratio (1.06 vs 1.04), 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.
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