PEJ vs. VCR
PEJ (Invesco Dynamic Leisure & Entertainment ETF) and VCR (Vanguard Consumer Discretionary ETF) are both Consumer Discretionary Equities funds - PEJ tracks the Dynamic Leisure and Entertainment Intellidex Index while VCR tracks the MSCI US Investable Market Consumer Discretionary 25/50 Index. Both are passively managed. Over the past 10 years, PEJ returned 7.28%/yr vs 13.40%/yr for VCR. Their correlation of 0.81 means they have usually moved in the same direction. PEJ charges 0.55%/yr vs 0.10%/yr for VCR.
Performance
PEJ vs. VCR - Performance Comparison
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Returns By Period
In the year-to-date period, PEJ achieves a 9.32% return, which is significantly higher than VCR's 1.85% return. Over the past 10 years, PEJ has underperformed VCR with an annualized return of 7.28%, while VCR has yielded a comparatively higher 13.40% annualized return.
PEJ
- 1D
- -0.09%
- 1M
- -0.62%
- 6M
- 10.02%
- YTD
- 9.32%
- 1Y
- 18.25%
- 3Y*
- 17.21%
- 5Y*
- 7.23%
- 10Y*
- 7.28%
- ALL TIME*
- 8.10%
VCR
- 1D
- 2.14%
- 1M
- 1.04%
- 6M
- -0.18%
- YTD
- 1.85%
- 1Y
- 11.97%
- 3Y*
- 12.25%
- 5Y*
- 5.83%
- 10Y*
- 13.40%
- ALL TIME*
- 11.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $8.68M | $5.57M | $3.77M | |
| $24.52M | $25.91M | $23.87M |
PEJ vs. VCR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PEJ Invesco Dynamic Leisure & Entertainment ETF | 9.32% | 17.78% | 25.08% | 15.73% | -25.37% | 22.78% | -10.29% | 13.82% | -9.31% | 11.22% |
VCR Vanguard Consumer Discretionary ETF | 1.85% | 5.77% | 24.27% | 40.38% | -35.15% | 24.86% | 48.36% | 27.45% | -2.31% | 22.82% |
Correlation
The correlation between PEJ and VCR is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.67 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.75 |
Correlation (All Time) Calculated using the full available price history since Jun 23, 2005 | 0.81 |
The correlation between PEJ and VCR shifts across timeframes, from 0.67 (1 year) to 0.81 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PEJ vs. VCR — Risk / Return Rank
PEJ
VCR
PEJ vs. VCR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Leisure & Entertainment ETF (PEJ) and Vanguard Consumer Discretionary ETF (VCR). 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 | VCR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.37 | ||
| Sortino ratioReturn per unit of downside risk | +0.60 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.12 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 1.78 | 0.77 | +1.01 |
| Martin ratioReturn relative to average drawdown | 4.63 | 2.22 | +2.41 |
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Drawdowns
PEJ vs. VCR - Drawdown Comparison
The maximum PEJ drawdown since its inception was -66.03%, which is greater than VCR's maximum drawdown of -61.54%. Use the drawdown chart below to compare losses from any high point for PEJ and VCR.
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Drawdown Indicators
| PEJ | VCR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.03% | -61.54% | -4.49% |
Max Drawdown (1Y)Largest decline over 1 year | -10.29% | -15.59% | +5.30% |
Max Drawdown (3Y)Largest decline over 3 years | -25.75% | -27.36% | +1.61% |
Max Drawdown (5Y)Largest decline over 5 years | -34.74% | -39.20% | +4.46% |
Max Drawdown (10Y)Largest decline over 10 years | -58.96% | -39.20% | -19.76% |
Current DrawdownCurrent decline from peak | -1.52% | -2.79% | +1.27% |
Average DrawdownAverage peak-to-trough decline | -12.24% | -9.37% | -2.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.95% | 5.41% | -1.46% |
Volatility
PEJ vs. VCR - Volatility Comparison
The current volatility for Invesco Dynamic Leisure & Entertainment ETF (PEJ) is 4.60%, while Vanguard Consumer Discretionary ETF (VCR) has a volatility of 7.05%. This indicates that PEJ experiences smaller price fluctuations and is considered to be less risky than VCR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PEJ | VCR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.60% | 7.05% | -2.45% |
Volatility (6M)Calculated over the trailing 6-month period | 14.83% | 14.91% | -0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.60% | 19.52% | -0.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.69% | 24.24% | -1.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.71% | 22.51% | +2.20% |
PEJ vs. VCR - Expense Ratio Comparison
PEJ has a 0.55% expense ratio, which is higher than VCR's 0.10% expense ratio.
Dividends
PEJ vs. VCR - Dividend Comparison
PEJ's dividend yield for the trailing twelve months is around 0.50%, less than VCR's 0.72% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PEJ Invesco Dynamic Leisure & Entertainment ETF | 0.50% | 0.24% | 0.40% | 0.46% | 0.43% | 0.34% | 0.92% | 0.39% | 0.78% | 0.68% | 0.68% | 0.52% |
VCR Vanguard Consumer Discretionary ETF | 0.72% | 0.74% | 0.74% | 0.84% | 0.98% | 0.79% | 1.71% | 1.17% | 1.37% | 1.21% | 1.60% | 1.32% |
Frequently Asked Questions
PEJ and VCR have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VCR has higher volatility (7.05%) compared to PEJ (4.60%). In terms of maximum drawdown, PEJ dropped -66.03% vs VCR's -61.54%.
On 10-year performance, VCR leads with 13.40% vs 7.28% for PEJ. On fees, VCR is cheaper at 0.10% per year. On volatility, PEJ has been the lower-risk option at 4.60%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, VCR has performed better with a 13.40% return vs 7.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VCR is cheaper with a 0.10% expense ratio, compared with 0.55% for PEJ.
VCR has the higher dividend yield at 0.72%, compared with 0.50% for PEJ.
PEJ tracks Dynamic Leisure and Entertainment Intellidex Index, while VCR tracks MSCI US Investable Market Consumer Discretionary 25/50 Index. They also come from different issuers: Invesco and Vanguard. Their fees differ too: 0.55% for PEJ and 0.10% for VCR.
PEJ currently has the higher Sharpe Ratio (0.99 vs 0.62), 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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