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

Key characteristics


PIOSPY
YTD Return5.08%27.04%
1Y Return24.53%39.75%
3Y Return (Ann)0.16%10.21%
5Y Return (Ann)8.51%15.93%
10Y Return (Ann)7.15%13.36%
Sharpe Ratio1.633.15
Sortino Ratio2.274.19
Omega Ratio1.281.59
Calmar Ratio1.134.60
Martin Ratio6.4720.85
Ulcer Index3.80%1.85%
Daily Std Dev15.09%12.29%
Max Drawdown-64.91%-55.19%
Current Drawdown-4.61%0.00%

Correlation

-0.50.00.51.00.8

The correlation between PIO and SPY is 0.79, 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

PIO vs. SPY - Performance Comparison

In the year-to-date period, PIO achieves a 5.08% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, PIO has underperformed SPY with an annualized return of 7.15%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.67%
15.57%
PIO
SPY

Compare stocks, funds, or ETFs

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


PIO vs. SPY - Expense Ratio Comparison

PIO has a 0.75% expense ratio, which is higher than SPY's 0.09% expense ratio.


PIO
Invesco Global Water ETF
Expense ratio chart for PIO: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
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

PIO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Global Water ETF (PIO) 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.


PIO
Sharpe ratio
The chart of Sharpe ratio for PIO, currently valued at 1.63, compared to the broader market-2.000.002.004.006.001.63
Sortino ratio
The chart of Sortino ratio for PIO, currently valued at 2.27, compared to the broader market-2.000.002.004.006.008.0010.0012.002.27
Omega ratio
The chart of Omega ratio for PIO, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for PIO, currently valued at 1.13, compared to the broader market0.005.0010.0015.001.13
Martin ratio
The chart of Martin ratio for PIO, currently valued at 6.47, compared to the broader market0.0020.0040.0060.0080.00100.006.47
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

PIO vs. SPY - Sharpe Ratio Comparison

The current PIO Sharpe Ratio is 1.63, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of PIO 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.63
3.15
PIO
SPY

Dividends

PIO vs. SPY - Dividend Comparison

PIO's dividend yield for the trailing twelve months is around 0.82%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
PIO
Invesco Global Water ETF
0.82%0.84%1.02%1.19%0.88%1.19%2.00%1.00%1.45%1.62%1.42%1.50%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PIO vs. SPY - Drawdown Comparison

The maximum PIO drawdown since its inception was -64.91%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PIO and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.61%
0
PIO
SPY

Volatility

PIO vs. SPY - Volatility Comparison

Invesco Global Water ETF (PIO) and SPDR S&P 500 ETF (SPY) have volatilities of 3.80% and 3.95%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
3.95%
PIO
SPY