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PKSFX vs. SDY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PKSFXSDY
YTD Return20.86%14.74%
1Y Return31.25%26.70%
3Y Return (Ann)4.54%6.33%
5Y Return (Ann)8.95%8.93%
10Y Return (Ann)9.50%9.74%
Sharpe Ratio1.862.54
Sortino Ratio2.633.60
Omega Ratio1.331.47
Calmar Ratio2.272.20
Martin Ratio8.6315.25
Ulcer Index3.66%1.74%
Daily Std Dev16.95%10.44%
Max Drawdown-66.37%-54.75%
Current Drawdown-1.26%-1.96%

Correlation

-0.50.00.51.00.8

The correlation between PKSFX and SDY is 0.83, 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

PKSFX vs. SDY - Performance Comparison

In the year-to-date period, PKSFX achieves a 20.86% return, which is significantly higher than SDY's 14.74% return. Both investments have delivered pretty close results over the past 10 years, with PKSFX having a 9.50% annualized return and SDY not far ahead at 9.74%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.11%
8.58%
PKSFX
SDY

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PKSFX vs. SDY - Expense Ratio Comparison

PKSFX has a 1.00% expense ratio, which is higher than SDY's 0.35% expense ratio.


PKSFX
Virtus KAR Small-Cap Core Fund
Expense ratio chart for PKSFX: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for SDY: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

PKSFX vs. SDY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus KAR Small-Cap Core Fund (PKSFX) and SPDR S&P Dividend ETF (SDY). 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.


PKSFX
Sharpe ratio
The chart of Sharpe ratio for PKSFX, currently valued at 1.86, compared to the broader market0.002.004.001.86
Sortino ratio
The chart of Sortino ratio for PKSFX, currently valued at 2.63, compared to the broader market0.005.0010.002.63
Omega ratio
The chart of Omega ratio for PKSFX, currently valued at 1.33, compared to the broader market1.002.003.004.001.33
Calmar ratio
The chart of Calmar ratio for PKSFX, currently valued at 2.27, compared to the broader market0.005.0010.0015.0020.0025.002.27
Martin ratio
The chart of Martin ratio for PKSFX, currently valued at 8.63, compared to the broader market0.0020.0040.0060.0080.00100.008.63
SDY
Sharpe ratio
The chart of Sharpe ratio for SDY, currently valued at 2.54, compared to the broader market0.002.004.002.54
Sortino ratio
The chart of Sortino ratio for SDY, currently valued at 3.60, compared to the broader market0.005.0010.003.60
Omega ratio
The chart of Omega ratio for SDY, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for SDY, currently valued at 2.20, compared to the broader market0.005.0010.0015.0020.0025.002.20
Martin ratio
The chart of Martin ratio for SDY, currently valued at 15.25, compared to the broader market0.0020.0040.0060.0080.00100.0015.25

PKSFX vs. SDY - Sharpe Ratio Comparison

The current PKSFX Sharpe Ratio is 1.86, which is comparable to the SDY Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of PKSFX and SDY, 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
1.86
2.54
PKSFX
SDY

Dividends

PKSFX vs. SDY - Dividend Comparison

PKSFX's dividend yield for the trailing twelve months is around 0.43%, less than SDY's 2.92% yield.


TTM20232022202120202019201820172016201520142013
PKSFX
Virtus KAR Small-Cap Core Fund
0.43%0.52%0.27%0.13%0.13%0.01%0.14%0.00%0.00%0.62%0.00%0.16%
SDY
SPDR S&P Dividend ETF
2.92%2.64%2.55%2.63%2.85%2.45%2.73%4.69%3.30%6.20%4.74%3.95%

Drawdowns

PKSFX vs. SDY - Drawdown Comparison

The maximum PKSFX drawdown since its inception was -66.37%, which is greater than SDY's maximum drawdown of -54.75%. Use the drawdown chart below to compare losses from any high point for PKSFX and SDY. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.26%
-1.96%
PKSFX
SDY

Volatility

PKSFX vs. SDY - Volatility Comparison

Virtus KAR Small-Cap Core Fund (PKSFX) has a higher volatility of 6.35% compared to SPDR S&P Dividend ETF (SDY) at 2.73%. This indicates that PKSFX's price experiences larger fluctuations and is considered to be riskier than SDY 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%7.00%JuneJulyAugustSeptemberOctoberNovember
6.35%
2.73%
PKSFX
SDY