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PJP vs. IHE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PJP vs. IHE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dynamic Pharmaceuticals ETF (PJP) and iShares U.S. Pharmaceuticals ETF (IHE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.03%
1.60%
PJP
IHE

Returns By Period

In the year-to-date period, PJP achieves a 10.69% return, which is significantly higher than IHE's 9.23% return. Over the past 10 years, PJP has underperformed IHE with an annualized return of 3.84%, while IHE has yielded a comparatively higher 4.59% annualized return.


PJP

YTD

10.69%

1M

-5.52%

6M

4.03%

1Y

20.72%

5Y (annualized)

7.50%

10Y (annualized)

3.84%

IHE

YTD

9.23%

1M

-7.32%

6M

1.60%

1Y

17.03%

5Y (annualized)

8.12%

10Y (annualized)

4.59%

Key characteristics


PJPIHE
Sharpe Ratio1.671.45
Sortino Ratio2.272.10
Omega Ratio1.281.25
Calmar Ratio1.381.53
Martin Ratio9.985.12
Ulcer Index2.13%3.46%
Daily Std Dev12.79%12.20%
Max Drawdown-37.06%-38.20%
Current Drawdown-6.65%-8.14%

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PJP vs. IHE - Expense Ratio Comparison

PJP has a 0.58% expense ratio, which is higher than IHE's 0.42% expense ratio.


PJP
Invesco Dynamic Pharmaceuticals ETF
Expense ratio chart for PJP: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for IHE: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%

Correlation

-0.50.00.51.00.9

The correlation between PJP and IHE is 0.90, 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.

Risk-Adjusted Performance

PJP vs. IHE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Pharmaceuticals ETF (PJP) and iShares U.S. Pharmaceuticals ETF (IHE). 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 PJP, currently valued at 1.67, compared to the broader market0.002.004.001.671.45
The chart of Sortino ratio for PJP, currently valued at 2.27, compared to the broader market-2.000.002.004.006.008.0010.002.272.10
The chart of Omega ratio for PJP, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.25
The chart of Calmar ratio for PJP, currently valued at 1.38, compared to the broader market0.005.0010.0015.001.381.53
The chart of Martin ratio for PJP, currently valued at 9.98, compared to the broader market0.0020.0040.0060.0080.00100.009.985.12
PJP
IHE

The current PJP Sharpe Ratio is 1.67, which is comparable to the IHE Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of PJP and IHE, 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
1.67
1.45
PJP
IHE

Dividends

PJP vs. IHE - Dividend Comparison

PJP's dividend yield for the trailing twelve months is around 0.92%, less than IHE's 1.60% yield.


TTM20232022202120202019201820172016201520142013
PJP
Invesco Dynamic Pharmaceuticals ETF
0.92%1.01%0.95%0.81%0.76%0.77%1.11%0.65%0.91%5.49%2.96%0.44%
IHE
iShares U.S. Pharmaceuticals ETF
1.60%1.39%2.01%1.49%1.19%1.40%1.25%1.36%0.92%1.93%1.20%1.06%

Drawdowns

PJP vs. IHE - Drawdown Comparison

The maximum PJP drawdown since its inception was -37.06%, roughly equal to the maximum IHE drawdown of -38.20%. Use the drawdown chart below to compare losses from any high point for PJP and IHE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.65%
-8.14%
PJP
IHE

Volatility

PJP vs. IHE - Volatility Comparison

Invesco Dynamic Pharmaceuticals ETF (PJP) has a higher volatility of 4.49% compared to iShares U.S. Pharmaceuticals ETF (IHE) at 4.23%. This indicates that PJP's price experiences larger fluctuations and is considered to be riskier than IHE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctoberNovember
4.49%
4.23%
PJP
IHE