PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PSK vs. FPEI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PSK vs. FPEI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR ICE Preferred Securities ETF (PSK) and First Trust Institutional Preferred Securities & Income ETF (FPEI). The values are adjusted to include any dividend payments, if applicable.

5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%JuneJulyAugustSeptemberOctoberNovember
17.43%
37.38%
PSK
FPEI

Returns By Period

In the year-to-date period, PSK achieves a 8.40% return, which is significantly lower than FPEI's 10.85% return.


PSK

YTD

8.40%

1M

-3.05%

6M

5.21%

1Y

12.25%

5Y (annualized)

1.06%

10Y (annualized)

3.53%

FPEI

YTD

10.85%

1M

-0.47%

6M

5.73%

1Y

16.87%

5Y (annualized)

4.23%

10Y (annualized)

N/A

Key characteristics


PSKFPEI
Sharpe Ratio1.474.65
Sortino Ratio2.087.61
Omega Ratio1.272.09
Calmar Ratio0.792.10
Martin Ratio6.4935.51
Ulcer Index1.96%0.48%
Daily Std Dev8.66%3.68%
Max Drawdown-30.10%-27.51%
Current Drawdown-4.76%-0.63%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PSK vs. FPEI - Expense Ratio Comparison

PSK has a 0.45% expense ratio, which is lower than FPEI's 0.85% expense ratio.


FPEI
First Trust Institutional Preferred Securities & Income ETF
Expense ratio chart for FPEI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for PSK: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Correlation

-0.50.00.51.00.4

The correlation between PSK and FPEI is 0.43, 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

PSK vs. FPEI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR ICE Preferred Securities ETF (PSK) and First Trust Institutional Preferred Securities & Income ETF (FPEI). 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 PSK, currently valued at 1.47, compared to the broader market0.002.004.006.001.474.65
The chart of Sortino ratio for PSK, currently valued at 2.08, compared to the broader market-2.000.002.004.006.008.0010.0012.002.087.61
The chart of Omega ratio for PSK, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.272.09
The chart of Calmar ratio for PSK, currently valued at 0.79, compared to the broader market0.005.0010.0015.000.792.10
The chart of Martin ratio for PSK, currently valued at 6.49, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.4935.51
PSK
FPEI

The current PSK Sharpe Ratio is 1.47, which is lower than the FPEI Sharpe Ratio of 4.65. The chart below compares the historical Sharpe Ratios of PSK and FPEI, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.47
4.65
PSK
FPEI

Dividends

PSK vs. FPEI - Dividend Comparison

PSK's dividend yield for the trailing twelve months is around 6.26%, more than FPEI's 5.49% yield.


TTM20232022202120202019201820172016201520142013
PSK
SPDR ICE Preferred Securities ETF
6.26%6.44%6.55%5.03%5.49%5.44%6.47%6.91%5.92%5.35%5.65%7.73%
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.49%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%0.00%

Drawdowns

PSK vs. FPEI - Drawdown Comparison

The maximum PSK drawdown since its inception was -30.10%, which is greater than FPEI's maximum drawdown of -27.51%. Use the drawdown chart below to compare losses from any high point for PSK and FPEI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.76%
-0.63%
PSK
FPEI

Volatility

PSK vs. FPEI - Volatility Comparison

SPDR ICE Preferred Securities ETF (PSK) has a higher volatility of 3.03% compared to First Trust Institutional Preferred Securities & Income ETF (FPEI) at 0.76%. This indicates that PSK's price experiences larger fluctuations and is considered to be riskier than FPEI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
3.03%
0.76%
PSK
FPEI