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

Key characteristics


PGFPSK
YTD Return10.05%8.81%
1Y Return16.29%14.92%
3Y Return (Ann)-1.00%-0.92%
5Y Return (Ann)1.35%1.16%
10Y Return (Ann)3.75%3.58%
Sharpe Ratio1.791.79
Sortino Ratio2.502.53
Omega Ratio1.341.33
Calmar Ratio0.960.94
Martin Ratio9.418.16
Ulcer Index1.84%1.93%
Daily Std Dev9.66%8.81%
Max Drawdown-75.69%-30.10%
Current Drawdown-4.70%-4.40%

Correlation

-0.50.00.51.00.8

The correlation between PGF and PSK is 0.82, 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

PGF vs. PSK - Performance Comparison

In the year-to-date period, PGF achieves a 10.05% return, which is significantly higher than PSK's 8.81% return. Both investments have delivered pretty close results over the past 10 years, with PGF having a 3.75% annualized return and PSK not far behind at 3.58%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.64%
5.26%
PGF
PSK

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PGF vs. PSK - Expense Ratio Comparison

PGF has a 0.62% expense ratio, which is higher than PSK's 0.45% expense ratio.


PGF
Invesco Financial Preferred ETF
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%
Expense ratio chart for PSK: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Risk-Adjusted Performance

PGF vs. PSK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Financial Preferred ETF (PGF) and SPDR ICE Preferred Securities ETF (PSK). 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.


PGF
Sharpe ratio
The chart of Sharpe ratio for PGF, currently valued at 1.79, compared to the broader market-2.000.002.004.001.79
Sortino ratio
The chart of Sortino ratio for PGF, currently valued at 2.50, compared to the broader market0.005.0010.002.50
Omega ratio
The chart of Omega ratio for PGF, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for PGF, currently valued at 0.96, compared to the broader market0.005.0010.0015.000.96
Martin ratio
The chart of Martin ratio for PGF, currently valued at 9.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.41
PSK
Sharpe ratio
The chart of Sharpe ratio for PSK, currently valued at 1.79, compared to the broader market-2.000.002.004.001.79
Sortino ratio
The chart of Sortino ratio for PSK, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for PSK, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for PSK, currently valued at 0.94, compared to the broader market0.005.0010.0015.000.94
Martin ratio
The chart of Martin ratio for PSK, currently valued at 8.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.16

PGF vs. PSK - Sharpe Ratio Comparison

The current PGF Sharpe Ratio is 1.79, which is comparable to the PSK Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of PGF and PSK, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.79
1.79
PGF
PSK

Dividends

PGF vs. PSK - Dividend Comparison

PGF's dividend yield for the trailing twelve months is around 6.26%, which matches PSK's 6.24% yield.


TTM20232022202120202019201820172016201520142013
PGF
Invesco Financial Preferred ETF
6.26%6.14%5.97%4.67%4.90%5.14%5.74%5.32%5.92%5.60%5.92%6.63%
PSK
SPDR ICE Preferred Securities ETF
6.24%6.44%6.55%5.03%5.49%5.44%6.47%6.91%5.92%5.35%5.65%7.73%

Drawdowns

PGF vs. PSK - Drawdown Comparison

The maximum PGF drawdown since its inception was -75.69%, which is greater than PSK's maximum drawdown of -30.10%. Use the drawdown chart below to compare losses from any high point for PGF and PSK. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-4.70%
-4.40%
PGF
PSK

Volatility

PGF vs. PSK - Volatility Comparison

Invesco Financial Preferred ETF (PGF) has a higher volatility of 3.54% compared to SPDR ICE Preferred Securities ETF (PSK) at 3.07%. This indicates that PGF's price experiences larger fluctuations and is considered to be riskier than PSK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
3.54%
3.07%
PGF
PSK