PENNX vs. SPY
Compare and contrast key facts about Royce Pennsylvania Mutual Fund (PENNX) and SPDR S&P 500 ETF (SPY).
PENNX is managed by Royce Investment Partners. It was launched on Oct 31, 1972. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PENNX or SPY.
Performance
PENNX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, PENNX achieves a 12.96% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, PENNX has underperformed SPY with an annualized return of -3.11%, while SPY has yielded a comparatively higher 13.10% annualized return.
PENNX
12.96%
4.85%
7.35%
19.66%
2.29%
-3.11%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| PENNX | SPY | |
|---|---|---|
| Sharpe Ratio | 1.09 | 2.70 |
| Sortino Ratio | 1.61 | 3.60 |
| Omega Ratio | 1.20 | 1.50 |
| Calmar Ratio | 0.49 | 3.90 |
| Martin Ratio | 5.22 | 17.52 |
| Ulcer Index | 3.87% | 1.87% |
| Daily Std Dev | 18.59% | 12.14% |
| Max Drawdown | -61.83% | -55.19% |
| Current Drawdown | -29.67% | -0.85% |
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PENNX vs. SPY - Expense Ratio Comparison
PENNX has a 0.92% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between PENNX and SPY is 0.78, 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
PENNX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Royce Pennsylvania Mutual Fund (PENNX) 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
PENNX vs. SPY - Dividend Comparison
PENNX's dividend yield for the trailing twelve months is around 0.35%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PENNX Royce Pennsylvania Mutual Fund | 0.35% | 0.39% | 0.08% | 0.06% | 0.59% | 0.26% | 0.19% | 0.58% | 0.36% | 1.04% | 0.36% | 0.01% |
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
PENNX vs. SPY - Drawdown Comparison
The maximum PENNX drawdown since its inception was -61.83%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PENNX and SPY. For additional features, visit the drawdowns tool.
Volatility
PENNX vs. SPY - Volatility Comparison
Royce Pennsylvania Mutual Fund (PENNX) has a higher volatility of 6.40% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that PENNX'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.