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PEZ vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PEZSPY
YTD Return12.53%7.90%
1Y Return38.91%28.03%
3Y Return (Ann)1.97%8.75%
5Y Return (Ann)10.70%13.52%
10Y Return (Ann)9.37%12.62%
Sharpe Ratio1.652.33
Daily Std Dev22.15%11.63%
Max Drawdown-58.39%-55.19%
Current Drawdown-8.22%-2.27%

Correlation

-0.50.00.51.00.7

The correlation between PEZ and SPY is 0.74, 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.

Performance

PEZ vs. SPY - Performance Comparison

In the year-to-date period, PEZ achieves a 12.53% return, which is significantly higher than SPY's 7.90% return. Over the past 10 years, PEZ has underperformed SPY with an annualized return of 9.37%, while SPY has yielded a comparatively higher 12.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%250.00%300.00%350.00%400.00%December2024FebruaryMarchAprilMay
302.34%
425.28%
PEZ
SPY

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Invesco DWA Consumer Cyclicals Momentum ETF

SPDR S&P 500 ETF

PEZ vs. SPY - Expense Ratio Comparison

PEZ has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.


PEZ
Invesco DWA Consumer Cyclicals Momentum ETF
Expense ratio chart for PEZ: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

PEZ vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) 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.


PEZ
Sharpe ratio
The chart of Sharpe ratio for PEZ, currently valued at 1.65, compared to the broader market0.002.004.001.65
Sortino ratio
The chart of Sortino ratio for PEZ, currently valued at 2.34, compared to the broader market-2.000.002.004.006.008.002.34
Omega ratio
The chart of Omega ratio for PEZ, currently valued at 1.28, compared to the broader market0.501.001.502.002.501.28
Calmar ratio
The chart of Calmar ratio for PEZ, currently valued at 0.88, compared to the broader market0.002.004.006.008.0010.0012.000.88
Martin ratio
The chart of Martin ratio for PEZ, currently valued at 4.79, compared to the broader market0.0020.0040.0060.0080.004.79
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.33, compared to the broader market0.002.004.002.33
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.33, compared to the broader market-2.000.002.004.006.008.003.33
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.41, compared to the broader market0.501.001.502.002.501.41
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.01, compared to the broader market0.002.004.006.008.0010.0012.002.01
Martin ratio
The chart of Martin ratio for SPY, currently valued at 9.38, compared to the broader market0.0020.0040.0060.0080.009.38

PEZ vs. SPY - Sharpe Ratio Comparison

The current PEZ Sharpe Ratio is 1.65, which roughly equals the SPY Sharpe Ratio of 2.33. The chart below compares the 12-month rolling Sharpe Ratio of PEZ and SPY.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50December2024FebruaryMarchAprilMay
1.65
2.33
PEZ
SPY

Dividends

PEZ vs. SPY - Dividend Comparison

PEZ's dividend yield for the trailing twelve months is around 0.42%, less than SPY's 1.31% yield.


TTM20232022202120202019201820172016201520142013
PEZ
Invesco DWA Consumer Cyclicals Momentum ETF
0.42%0.60%0.41%0.22%0.39%0.01%0.40%0.42%0.83%0.64%0.15%0.46%
SPY
SPDR S&P 500 ETF
1.31%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PEZ vs. SPY - Drawdown Comparison

The maximum PEZ drawdown since its inception was -58.39%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PEZ and SPY. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-8.22%
-2.27%
PEZ
SPY

Volatility

PEZ vs. SPY - Volatility Comparison

Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) has a higher volatility of 6.65% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that PEZ'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.


2.00%4.00%6.00%8.00%December2024FebruaryMarchAprilMay
6.65%
4.08%
PEZ
SPY