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

Correlation

The correlation between PGJ and SPY 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.


-0.50.00.51.0
Correlation: 0.6

Performance

PGJ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Golden Dragon China ETF (PGJ) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%700.00%NovemberDecember2025FebruaryMarchApril
140.84%
578.23%
PGJ
SPY

Key characteristics

Sharpe Ratio

PGJ:

0.43

SPY:

0.51

Sortino Ratio

PGJ:

0.90

SPY:

0.86

Omega Ratio

PGJ:

1.11

SPY:

1.13

Calmar Ratio

PGJ:

0.22

SPY:

0.55

Martin Ratio

PGJ:

1.15

SPY:

2.26

Ulcer Index

PGJ:

14.29%

SPY:

4.55%

Daily Std Dev

PGJ:

38.53%

SPY:

20.08%

Max Drawdown

PGJ:

-78.37%

SPY:

-55.19%

Current Drawdown

PGJ:

-65.18%

SPY:

-9.89%

Returns By Period

In the year-to-date period, PGJ achieves a 3.80% return, which is significantly higher than SPY's -5.76% return. Over the past 10 years, PGJ has underperformed SPY with an annualized return of -0.90%, while SPY has yielded a comparatively higher 11.99% annualized return.


PGJ

YTD

3.80%

1M

-10.59%

6M

1.65%

1Y

14.46%

5Y*

-5.70%

10Y*

-0.90%

SPY

YTD

-5.76%

1M

-3.16%

6M

-4.30%

1Y

10.76%

5Y*

15.96%

10Y*

11.99%

*Annualized

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PGJ vs. SPY - Expense Ratio Comparison

PGJ has a 0.70% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for PGJ: current value is 0.70%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PGJ: 0.70%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

PGJ vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PGJ
The Risk-Adjusted Performance Rank of PGJ is 5050
Overall Rank
The Sharpe Ratio Rank of PGJ is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of PGJ is 6161
Sortino Ratio Rank
The Omega Ratio Rank of PGJ is 5454
Omega Ratio Rank
The Calmar Ratio Rank of PGJ is 3939
Calmar Ratio Rank
The Martin Ratio Rank of PGJ is 4343
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6161
Overall Rank
The Sharpe Ratio Rank of SPY is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6161
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6464
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PGJ vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Golden Dragon China ETF (PGJ) 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.


The chart of Sharpe ratio for PGJ, currently valued at 0.43, compared to the broader market-1.000.001.002.003.004.00
PGJ: 0.43
SPY: 0.51
The chart of Sortino ratio for PGJ, currently valued at 0.90, compared to the broader market-2.000.002.004.006.008.00
PGJ: 0.90
SPY: 0.86
The chart of Omega ratio for PGJ, currently valued at 1.11, compared to the broader market0.501.001.502.002.50
PGJ: 1.11
SPY: 1.13
The chart of Calmar ratio for PGJ, currently valued at 0.22, compared to the broader market0.002.004.006.008.0010.0012.00
PGJ: 0.22
SPY: 0.55
The chart of Martin ratio for PGJ, currently valued at 1.15, compared to the broader market0.0020.0040.0060.00
PGJ: 1.15
SPY: 2.26

The current PGJ Sharpe Ratio is 0.43, which is comparable to the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of PGJ and SPY, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.43
0.51
PGJ
SPY

Dividends

PGJ vs. SPY - Dividend Comparison

PGJ's dividend yield for the trailing twelve months is around 4.81%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
PGJ
Invesco Golden Dragon China ETF
4.81%4.70%2.50%0.84%0.00%0.31%0.17%0.31%2.05%1.94%0.37%0.89%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

PGJ vs. SPY - Drawdown Comparison

The maximum PGJ drawdown since its inception was -78.37%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PGJ and SPY. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-65.18%
-9.89%
PGJ
SPY

Volatility

PGJ vs. SPY - Volatility Comparison

Invesco Golden Dragon China ETF (PGJ) and SPDR S&P 500 ETF (SPY) have volatilities of 15.02% and 15.12%, 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
15.02%
15.12%
PGJ
SPY