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PSCE vs. VB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PSCE and VB 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.


Performance

PSCE vs. VB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Energy ETF (PSCE) and Vanguard Small-Cap ETF (VB). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

PSCE:

-0.74

VB:

0.20

Sortino Ratio

PSCE:

-0.85

VB:

0.52

Omega Ratio

PSCE:

0.88

VB:

1.07

Calmar Ratio

PSCE:

-0.31

VB:

0.22

Martin Ratio

PSCE:

-1.51

VB:

0.69

Ulcer Index

PSCE:

17.70%

VB:

8.15%

Daily Std Dev

PSCE:

37.22%

VB:

22.72%

Max Drawdown

PSCE:

-96.21%

VB:

-59.57%

Current Drawdown

PSCE:

-84.13%

VB:

-10.74%

Returns By Period

In the year-to-date period, PSCE achieves a -18.74% return, which is significantly lower than VB's -3.19% return. Over the past 10 years, PSCE has underperformed VB with an annualized return of -11.52%, while VB has yielded a comparatively higher 8.21% annualized return.


PSCE

YTD

-18.74%

1M

15.00%

6M

-23.91%

1Y

-27.49%

5Y*

24.17%

10Y*

-11.52%

VB

YTD

-3.19%

1M

11.29%

6M

-7.34%

1Y

4.42%

5Y*

14.28%

10Y*

8.21%

*Annualized

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PSCE vs. VB - Expense Ratio Comparison

PSCE has a 0.29% expense ratio, which is higher than VB's 0.05% expense ratio.


Risk-Adjusted Performance

PSCE vs. VB — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PSCE
The Risk-Adjusted Performance Rank of PSCE is 22
Overall Rank
The Sharpe Ratio Rank of PSCE is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of PSCE is 22
Sortino Ratio Rank
The Omega Ratio Rank of PSCE is 22
Omega Ratio Rank
The Calmar Ratio Rank of PSCE is 44
Calmar Ratio Rank
The Martin Ratio Rank of PSCE is 11
Martin Ratio Rank

VB
The Risk-Adjusted Performance Rank of VB is 2727
Overall Rank
The Sharpe Ratio Rank of VB is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of VB is 2929
Sortino Ratio Rank
The Omega Ratio Rank of VB is 2828
Omega Ratio Rank
The Calmar Ratio Rank of VB is 2929
Calmar Ratio Rank
The Martin Ratio Rank of VB is 2626
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PSCE vs. VB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Energy ETF (PSCE) and Vanguard Small-Cap ETF (VB). 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.


The current PSCE Sharpe Ratio is -0.74, which is lower than the VB Sharpe Ratio of 0.20. The chart below compares the historical Sharpe Ratios of PSCE and VB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

PSCE vs. VB - Dividend Comparison

PSCE's dividend yield for the trailing twelve months is around 2.27%, more than VB's 1.46% yield.


TTM20242023202220212020201920182017201620152014
PSCE
Invesco S&P SmallCap Energy ETF
2.27%1.70%2.57%1.71%0.46%0.87%0.13%0.22%0.05%0.22%0.81%0.29%
VB
Vanguard Small-Cap ETF
1.46%1.30%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%

Drawdowns

PSCE vs. VB - Drawdown Comparison

The maximum PSCE drawdown since its inception was -96.21%, which is greater than VB's maximum drawdown of -59.57%. Use the drawdown chart below to compare losses from any high point for PSCE and VB. For additional features, visit the drawdowns tool.


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Volatility

PSCE vs. VB - Volatility Comparison

Invesco S&P SmallCap Energy ETF (PSCE) has a higher volatility of 9.14% compared to Vanguard Small-Cap ETF (VB) at 6.44%. This indicates that PSCE's price experiences larger fluctuations and is considered to be riskier than VB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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