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PGF vs. FPEI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PGF and FPEI is 0.41, 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.


-0.50.00.51.00.4

Performance

PGF vs. FPEI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Financial Preferred ETF (PGF) and First Trust Institutional Preferred Securities & Income ETF (FPEI). The values are adjusted to include any dividend payments, if applicable.

15.00%20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
15.80%
37.15%
PGF
FPEI

Key characteristics

Sharpe Ratio

PGF:

0.72

FPEI:

3.24

Sortino Ratio

PGF:

1.03

FPEI:

4.88

Omega Ratio

PGF:

1.13

FPEI:

1.69

Calmar Ratio

PGF:

0.50

FPEI:

2.83

Martin Ratio

PGF:

2.88

FPEI:

21.48

Ulcer Index

PGF:

2.31%

FPEI:

0.51%

Daily Std Dev

PGF:

9.24%

FPEI:

3.40%

Max Drawdown

PGF:

-75.69%

FPEI:

-27.51%

Current Drawdown

PGF:

-7.38%

FPEI:

-0.97%

Returns By Period

In the year-to-date period, PGF achieves a 6.94% return, which is significantly lower than FPEI's 10.66% return.


PGF

YTD

6.94%

1M

-1.07%

6M

2.52%

1Y

6.28%

5Y*

0.55%

10Y*

3.46%

FPEI

YTD

10.66%

1M

0.03%

6M

4.69%

1Y

10.82%

5Y*

3.86%

10Y*

N/A

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PGF vs. FPEI - Expense Ratio Comparison

PGF has a 0.62% expense ratio, which is lower than FPEI's 0.85% expense ratio.


FPEI
First Trust Institutional Preferred Securities & Income ETF
Expense ratio chart for FPEI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for PGF: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%

Risk-Adjusted Performance

PGF vs. FPEI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Financial Preferred ETF (PGF) and First Trust Institutional Preferred Securities & Income ETF (FPEI). 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 PGF, currently valued at 0.72, compared to the broader market0.002.004.000.723.24
The chart of Sortino ratio for PGF, currently valued at 1.03, compared to the broader market-2.000.002.004.006.008.0010.001.034.88
The chart of Omega ratio for PGF, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.69
The chart of Calmar ratio for PGF, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.502.83
The chart of Martin ratio for PGF, currently valued at 2.88, compared to the broader market0.0020.0040.0060.0080.00100.002.8821.48
PGF
FPEI

The current PGF Sharpe Ratio is 0.72, which is lower than the FPEI Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of PGF and FPEI, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
0.72
3.24
PGF
FPEI

Dividends

PGF vs. FPEI - Dividend Comparison

PGF's dividend yield for the trailing twelve months is around 5.67%, less than FPEI's 6.04% yield.


TTM20232022202120202019201820172016201520142013
PGF
Invesco Financial Preferred ETF
5.67%6.14%5.97%4.67%4.90%5.14%5.74%5.32%5.92%5.60%5.92%6.63%
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.57%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%0.00%

Drawdowns

PGF vs. FPEI - Drawdown Comparison

The maximum PGF drawdown since its inception was -75.69%, which is greater than FPEI's maximum drawdown of -27.51%. Use the drawdown chart below to compare losses from any high point for PGF and FPEI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.38%
-0.97%
PGF
FPEI

Volatility

PGF vs. FPEI - Volatility Comparison

Invesco Financial Preferred ETF (PGF) has a higher volatility of 2.68% compared to First Trust Institutional Preferred Securities & Income ETF (FPEI) at 0.83%. This indicates that PGF's price experiences larger fluctuations and is considered to be riskier than FPEI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
2.68%
0.83%
PGF
FPEI
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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.

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