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PRF vs. PFF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PRF vs. PFF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco FTSE RAFI US 1000 ETF (PRF) and iShares Preferred and Income Securities ETF (PFF). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.55%
7.68%
PRF
PFF

Returns By Period

In the year-to-date period, PRF achieves a 21.29% return, which is significantly higher than PFF's 10.17% return. Over the past 10 years, PRF has outperformed PFF with an annualized return of 10.90%, while PFF has yielded a comparatively lower 3.67% annualized return.


PRF

YTD

21.29%

1M

2.81%

6M

12.55%

1Y

29.30%

5Y (annualized)

13.67%

10Y (annualized)

10.90%

PFF

YTD

10.17%

1M

-1.37%

6M

7.67%

1Y

16.15%

5Y (annualized)

2.93%

10Y (annualized)

3.67%

Key characteristics


PRFPFF
Sharpe Ratio2.721.93
Sortino Ratio3.762.70
Omega Ratio1.501.35
Calmar Ratio5.081.00
Martin Ratio17.7510.37
Ulcer Index1.68%1.50%
Daily Std Dev10.99%8.07%
Max Drawdown-60.35%-65.55%
Current Drawdown-0.35%-2.10%

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PRF vs. PFF - Expense Ratio Comparison

PRF has a 0.39% expense ratio, which is lower than PFF's 0.46% expense ratio.


PFF
iShares Preferred and Income Securities ETF
Expense ratio chart for PFF: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for PRF: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Correlation

-0.50.00.51.00.5

The correlation between PRF and PFF is 0.54, 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

PRF vs. PFF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) and iShares Preferred and Income Securities ETF (PFF). 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 PRF, currently valued at 2.72, compared to the broader market0.002.004.002.721.93
The chart of Sortino ratio for PRF, currently valued at 3.76, compared to the broader market-2.000.002.004.006.008.0010.0012.003.762.70
The chart of Omega ratio for PRF, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.35
The chart of Calmar ratio for PRF, currently valued at 5.08, compared to the broader market0.005.0010.0015.005.081.00
The chart of Martin ratio for PRF, currently valued at 17.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.7510.37
PRF
PFF

The current PRF Sharpe Ratio is 2.72, which is higher than the PFF Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of PRF and PFF, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
1.93
PRF
PFF

Dividends

PRF vs. PFF - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.67%, less than PFF's 6.16% yield.


TTM20232022202120202019201820172016201520142013
PRF
Invesco FTSE RAFI US 1000 ETF
1.67%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%1.56%
PFF
iShares Preferred and Income Securities ETF
6.16%6.63%5.55%4.45%4.79%5.31%6.31%5.59%5.85%5.77%6.32%6.61%

Drawdowns

PRF vs. PFF - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, smaller than the maximum PFF drawdown of -65.55%. Use the drawdown chart below to compare losses from any high point for PRF and PFF. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.35%
-2.10%
PRF
PFF

Volatility

PRF vs. PFF - Volatility Comparison

Invesco FTSE RAFI US 1000 ETF (PRF) has a higher volatility of 4.00% compared to iShares Preferred and Income Securities ETF (PFF) at 2.57%. This indicates that PRF's price experiences larger fluctuations and is considered to be riskier than PFF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
2.57%
PRF
PFF