PEX vs. ^GSPC
Compare and contrast key facts about ProShares Global Listed Private Equity ETF (PEX) and S&P 500 (^GSPC).
PEX is a passively managed fund by ProShares that tracks the performance of the LPX Direct Listed Private Equity Index. It was launched on Feb 26, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PEX or ^GSPC.
Key characteristics
| PEX | ^GSPC | |
|---|---|---|
| YTD Return | 10.70% | 25.48% |
| 1Y Return | 20.90% | 33.14% |
| 3Y Return (Ann) | -0.39% | 8.55% |
| 5Y Return (Ann) | 5.78% | 13.96% |
| 10Y Return (Ann) | 6.65% | 11.39% |
| Sharpe Ratio | 1.92 | 2.91 |
| Sortino Ratio | 2.60 | 3.88 |
| Omega Ratio | 1.33 | 1.55 |
| Calmar Ratio | 1.30 | 4.20 |
| Martin Ratio | 11.75 | 18.80 |
| Ulcer Index | 2.04% | 1.90% |
| Daily Std Dev | 12.48% | 12.27% |
| Max Drawdown | -49.17% | -56.78% |
| Current Drawdown | -1.64% | -0.27% |
Correlation
The correlation between PEX and ^GSPC is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
PEX vs. ^GSPC - Performance Comparison
In the year-to-date period, PEX achieves a 10.70% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, PEX has underperformed ^GSPC with an annualized return of 6.65%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
PEX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Global Listed Private Equity ETF (PEX) and S&P 500 (^GSPC). 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.
Drawdowns
PEX vs. ^GSPC - Drawdown Comparison
The maximum PEX drawdown since its inception was -49.17%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
PEX vs. ^GSPC - Volatility Comparison
ProShares Global Listed Private Equity ETF (PEX) and S&P 500 (^GSPC) have volatilities of 3.57% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.