PEJ vs. XRT

Last updated Jun 5, 2026

PEJ (Invesco Dynamic Leisure & Entertainment ETF) and XRT (SPDR S&P Retail ETF) are both Consumer Discretionary Equities funds - PEJ tracks the Dynamic Leisure and Entertainment Intellidex Index while XRT tracks the S&P Retail Select Industry. Both are passively managed. Over the past 10 years, PEJ returned 6.63%/yr vs 8.58%/yr for XRT. A 0.75 correlation means they provide meaningful diversification when combined. PEJ charges 0.55%/yr vs 0.35%/yr for XRT.

Performance

PEJ vs. XRT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dynamic Leisure & Entertainment ETF (PEJ) and SPDR S&P Retail ETF (XRT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PEJ achieves a 2.55% return, which is significantly higher than XRT's -1.80% return. Over the past 10 years, PEJ has underperformed XRT with an annualized return of 6.63%, while XRT has yielded a comparatively higher 8.58% annualized return.

PEJ

• 1D: 0.88%
• 1M: 3.84%
• YTD: 2.55%
• 6M: 5.77%
• 1Y: 16.68%
• 3Y*: 16.28%
• 5Y*: 3.99%
• 10Y*: 6.63%

XRT

• 1D: 0.19%
• 1M: -1.02%
• YTD: -1.80%
• 6M: -1.47%
• 1Y: 9.41%
• 3Y*: 14.01%
• 5Y*: -0.80%
• 10Y*: 8.58%

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

PEJ vs. XRT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PEJ Invesco Dynamic Leisure & Entertainment ETF	2.55%	17.78%	25.08%	15.73%	-25.37%	22.78%	-10.29%	13.82%	-9.31%	11.22%
XRT SPDR S&P Retail ETF	-1.80%	8.07%	11.78%	21.53%	-31.64%	42.60%	41.91%	14.12%	-8.04%	4.22%

Correlation

The correlation between PEJ and XRT is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Jun 23, 2006	0.75

The correlation between PEJ and XRT has been stable across timeframes, ranging from 0.70 to 0.76 - a consistent structural relationship.

PEJ vs. XRT - Sectors Allocation Comparison

Sectors	PEJ	XRT
Consumer Cyclical	59.7%	73.6%
Communication Services	23.3%	1.4%
Industrials	10.2%	-
Consumer Defensive	6.8%	20.9%
Technology	4.2%	1.4%
Basic Materials	-	-
Energy	-	1.4%
Financial Services	-	-
Healthcare	-	1.4%
Real Estate	-	-
Utilities	-	-

Return for Risk

PEJ vs. XRT — Risk / Return Rank

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

PEJ

PEJ Risk / Return Rank: 28
PEJ Sharpe Ratio Rank: 26
PEJ Sortino Ratio Rank: 27
PEJ Omega Ratio Rank: 25
PEJ Calmar Ratio Rank: 34
PEJ Martin Ratio Rank: 30

XRT

XRT Risk / Return Rank: 17
XRT Sharpe Ratio Rank: 17
XRT Sortino Ratio Rank: 17
XRT Omega Ratio Rank: 16
XRT Calmar Ratio Rank: 18
XRT Martin Ratio Rank: 17

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. XRT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Leisure & Entertainment ETF (PEJ) and SPDR S&P Retail ETF (XRT). 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.

	PEJ	XRT	Difference
Sharpe ratio: Return per unit of total volatility	0.91	0.46	+0.44
Sortino ratio: Return per unit of downside risk	1.45	0.83	+0.62
Omega ratio: Gain probability vs. loss probability	1.17	1.09	+0.07
Calmar ratio: Return relative to maximum drawdown	1.63	0.70	+0.93
Martin ratio: Return relative to average drawdown	4.21	1.61	+2.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PEJ vs. XRT - Sharpe Ratio Comparison

The current PEJ Sharpe Ratio is 0.91, which is higher than the XRT Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of PEJ and XRT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PEJ	XRT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.91	0.46	+0.44
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.18	-0.03	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.27	0.32	-0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.33	0.35	-0.02

Drawdowns

PEJ vs. XRT - Drawdown Comparison

The maximum PEJ drawdown since its inception was -66.03%, roughly equal to the maximum XRT drawdown of -65.81%. Use the drawdown chart below to compare losses from any high point for PEJ and XRT.

Drawdown Indicators

	PEJ	XRT	Difference
Max Drawdown Largest peak-to-trough decline	-66.03%	-65.81%	-0.22%
Max Drawdown (1Y) Largest decline over 1 year	-10.29%	-13.53%	+3.24%
Max Drawdown (3Y) Largest decline over 3 years	-25.75%	-25.62%	-0.13%
Max Drawdown (5Y) Largest decline over 5 years	-35.44%	-44.57%	+9.13%
Max Drawdown (10Y) Largest decline over 10 years	-58.96%	-47.02%	-11.94%
Current Drawdown Current decline from peak	-1.72%	-13.66%	+11.94%
Average Drawdown Average peak-to-trough decline	-12.32%	-15.00%	+2.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.97%	5.87%	-1.90%

Volatility

PEJ vs. XRT - Volatility Comparison

The current volatility for Invesco Dynamic Leisure & Entertainment ETF (PEJ) is 5.87%, while SPDR S&P Retail ETF (XRT) has a volatility of 6.43%. This indicates that PEJ experiences smaller price fluctuations and is considered to be less risky than XRT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEJ	XRT	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.87%	6.43%	-0.56%
Volatility (6M) Calculated over the trailing 6-month period	13.92%	13.62%	+0.30%
Volatility (1Y) Calculated over the trailing 1-year period	18.49%	20.34%	-1.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.79%	26.90%	-4.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.74%	27.15%	-2.41%

PEJ vs. XRT - Expense Ratio Comparison

PEJ has a 0.55% expense ratio, which is higher than XRT's 0.35% expense ratio.

Dividends

PEJ vs. XRT - Dividend Comparison

PEJ's dividend yield for the trailing twelve months is around 0.39%, less than XRT's 0.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PEJ Invesco Dynamic Leisure & Entertainment ETF	0.39%	0.24%	0.40%	0.46%	0.43%	0.34%	0.92%	0.39%	0.78%	0.68%	0.68%	0.52%
XRT SPDR S&P Retail ETF	0.83%	0.77%	1.52%	1.40%	2.15%	1.55%	1.01%	1.57%	1.51%	1.52%	1.36%	1.30%

Frequently Asked Questions

Can I hold both PEJ and XRT in my portfolio?

PEJ and XRT have a correlation of 0.70, 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 XRT?

XRT has higher volatility (6.43%) compared to PEJ (5.87%). In terms of maximum drawdown, PEJ dropped -66.03% vs XRT's -65.81%.

Which ETF is better, PEJ or XRT?

On 10-year performance, XRT leads with 8.58% vs 6.63% for PEJ. On fees, XRT is cheaper at 0.35% per year. On volatility, PEJ has been the lower-risk option at 5.87%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEJ or XRT?

Over the 10-year period, XRT has performed better with a 8.58% return vs 6.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEJ or XRT?

XRT is cheaper with a 0.35% expense ratio, compared with 0.55% for PEJ.

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

XRT has the higher dividend yield at 0.83%, compared with 0.39% for PEJ.

What is the main difference between PEJ and XRT?

PEJ tracks Dynamic Leisure and Entertainment Intellidex Index, while XRT tracks S&P Retail Select Industry. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.55% for PEJ and 0.35% for XRT.

Which has better risk-adjusted returns?

PEJ currently has the higher Sharpe Ratio (0.91 vs 0.46), 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.