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

Performance

PJP vs. USA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dynamic Pharmaceuticals ETF (PJP) and Liberty All-Star Equity Fund (USA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.03%
9.51%
PJP
USA

Returns By Period

In the year-to-date period, PJP achieves a 10.69% return, which is significantly lower than USA's 23.60% return. Over the past 10 years, PJP has underperformed USA with an annualized return of 3.84%, while USA has yielded a comparatively higher 12.66% annualized return.


PJP

YTD

10.69%

1M

-5.52%

6M

4.03%

1Y

20.72%

5Y (annualized)

7.50%

10Y (annualized)

3.84%

USA

YTD

23.60%

1M

0.38%

6M

9.51%

1Y

28.64%

5Y (annualized)

12.74%

10Y (annualized)

12.66%

Key characteristics


PJPUSA
Sharpe Ratio1.672.03
Sortino Ratio2.272.77
Omega Ratio1.281.35
Calmar Ratio1.381.63
Martin Ratio9.9813.50
Ulcer Index2.13%2.11%
Daily Std Dev12.79%14.00%
Max Drawdown-37.06%-69.06%
Current Drawdown-6.65%-2.31%

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Correlation

-0.50.00.51.00.6

The correlation between PJP and USA is 0.57, 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.

Risk-Adjusted Performance

PJP vs. USA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dynamic Pharmaceuticals ETF (PJP) and Liberty All-Star Equity Fund (USA). 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 market0.002.004.001.672.03
The chart of Sortino ratio for PJP, currently valued at 2.27, compared to the broader market-2.000.002.004.006.008.0010.002.272.77
The chart of Omega ratio for PJP, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.35
The chart of Calmar ratio for PJP, currently valued at 1.38, compared to the broader market0.005.0010.0015.001.381.63
The chart of Martin ratio for PJP, currently valued at 9.98, compared to the broader market0.0020.0040.0060.0080.00100.009.9813.50
PJP
USA

The current PJP Sharpe Ratio is 1.67, which is comparable to the USA Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of PJP and USA, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.67
2.03
PJP
USA

Dividends

PJP vs. USA - Dividend Comparison

PJP's dividend yield for the trailing twelve months is around 0.92%, less than USA's 9.99% 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%
USA
Liberty All-Star Equity Fund
9.99%9.56%12.11%9.67%9.26%9.88%12.81%9.01%9.43%9.66%6.61%5.94%

Drawdowns

PJP vs. USA - Drawdown Comparison

The maximum PJP drawdown since its inception was -37.06%, smaller than the maximum USA drawdown of -69.06%. Use the drawdown chart below to compare losses from any high point for PJP and USA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.65%
-2.31%
PJP
USA

Volatility

PJP vs. USA - Volatility Comparison

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


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.49%
4.23%
PJP
USA