PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PFFD vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PFFD and VOO is 0.50, 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.


-0.50.00.51.00.5

Performance

PFFD vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X U.S. Preferred ETF (PFFD) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
19.13%
167.29%
PFFD
VOO

Key characteristics

Sharpe Ratio

PFFD:

0.83

VOO:

2.21

Sortino Ratio

PFFD:

1.19

VOO:

2.93

Omega Ratio

PFFD:

1.15

VOO:

1.41

Calmar Ratio

PFFD:

0.47

VOO:

3.25

Martin Ratio

PFFD:

3.78

VOO:

14.47

Ulcer Index

PFFD:

1.84%

VOO:

1.90%

Daily Std Dev

PFFD:

8.35%

VOO:

12.43%

Max Drawdown

PFFD:

-30.93%

VOO:

-33.99%

Current Drawdown

PFFD:

-8.59%

VOO:

-2.87%

Returns By Period

In the year-to-date period, PFFD achieves a 7.28% return, which is significantly lower than VOO's 25.49% return.


PFFD

YTD

7.28%

1M

-2.57%

6M

3.04%

1Y

6.97%

5Y*

0.97%

10Y*

N/A

VOO

YTD

25.49%

1M

0.01%

6M

8.65%

1Y

27.45%

5Y*

14.70%

10Y*

13.04%

Compare stocks, funds, or ETFs

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


PFFD vs. VOO - Expense Ratio Comparison

PFFD has a 0.23% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


PFFD
Global X U.S. Preferred ETF
Expense ratio chart for PFFD: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

PFFD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X U.S. Preferred ETF (PFFD) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for PFFD, currently valued at 0.83, compared to the broader market0.002.004.000.832.21
The chart of Sortino ratio for PFFD, currently valued at 1.19, compared to the broader market-2.000.002.004.006.008.0010.001.192.93
The chart of Omega ratio for PFFD, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.41
The chart of Calmar ratio for PFFD, currently valued at 0.47, compared to the broader market0.005.0010.0015.000.473.25
The chart of Martin ratio for PFFD, currently valued at 3.72, compared to the broader market0.0020.0040.0060.0080.00100.003.7214.47
PFFD
VOO

The current PFFD Sharpe Ratio is 0.83, which is lower than the VOO Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of PFFD and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
0.83
2.21
PFFD
VOO

Dividends

PFFD vs. VOO - Dividend Comparison

PFFD's dividend yield for the trailing twelve months is around 6.39%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
PFFD
Global X U.S. Preferred ETF
6.39%6.49%6.63%5.09%5.19%5.49%6.22%1.94%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PFFD vs. VOO - Drawdown Comparison

The maximum PFFD drawdown since its inception was -30.93%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PFFD and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.59%
-2.87%
PFFD
VOO

Volatility

PFFD vs. VOO - Volatility Comparison

The current volatility for Global X U.S. Preferred ETF (PFFD) is 2.37%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.64%. This indicates that PFFD experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.37%
3.64%
PFFD
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab