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

Key characteristics


PRFSPY
YTD Return21.06%26.83%
1Y Return30.83%34.88%
3Y Return (Ann)9.33%10.16%
5Y Return (Ann)13.52%15.71%
10Y Return (Ann)11.05%13.33%
Sharpe Ratio3.033.08
Sortino Ratio4.214.10
Omega Ratio1.561.58
Calmar Ratio5.744.46
Martin Ratio20.2020.22
Ulcer Index1.67%1.85%
Daily Std Dev11.12%12.18%
Max Drawdown-60.35%-55.19%
Current Drawdown-0.54%-0.26%

Correlation

-0.50.00.51.00.9

The correlation between PRF and SPY is 0.94, 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

PRF vs. SPY - Performance Comparison

In the year-to-date period, PRF achieves a 21.06% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, PRF has underperformed SPY with an annualized return of 11.05%, while SPY has yielded a comparatively higher 13.33% annualized return. 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%JuneJulyAugustSeptemberOctoberNovember
10.26%
13.43%
PRF
SPY

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PRF vs. SPY - Expense Ratio Comparison

PRF has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.


PRF
Invesco FTSE RAFI US 1000 ETF
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%
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

PRF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) 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.


PRF
Sharpe ratio
The chart of Sharpe ratio for PRF, currently valued at 3.03, compared to the broader market-2.000.002.004.003.03
Sortino ratio
The chart of Sortino ratio for PRF, currently valued at 4.21, compared to the broader market-2.000.002.004.006.008.0010.0012.004.21
Omega ratio
The chart of Omega ratio for PRF, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for PRF, currently valued at 5.74, compared to the broader market0.005.0010.0015.005.74
Martin ratio
The chart of Martin ratio for PRF, currently valued at 20.20, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.20
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.22

PRF vs. SPY - Sharpe Ratio Comparison

The current PRF Sharpe Ratio is 3.03, which is comparable to the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of PRF 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.03
3.08
PRF
SPY

Dividends

PRF vs. SPY - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.67%, more than SPY's 1.17% 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%
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

PRF vs. SPY - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PRF and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.54%
-0.26%
PRF
SPY

Volatility

PRF vs. SPY - Volatility Comparison

Invesco FTSE RAFI US 1000 ETF (PRF) has a higher volatility of 3.96% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that PRF's price experiences larger fluctuations and is considered to be riskier than SPY 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
3.96%
3.77%
PRF
SPY