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

Performance

PSK vs. PFF - Performance Comparison

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

0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.51%
7.67%
PSK
PFF

Returns By Period

In the year-to-date period, PSK achieves a 8.18% return, which is significantly lower than PFF's 10.17% return. Both investments have delivered pretty close results over the past 10 years, with PSK having a 3.50% annualized return and PFF not far ahead at 3.67%.


PSK

YTD

8.18%

1M

-2.27%

6M

6.51%

1Y

13.45%

5Y (annualized)

1.05%

10Y (annualized)

3.50%

PFF

YTD

10.17%

1M

-1.37%

6M

7.67%

1Y

16.15%

5Y (annualized)

2.93%

10Y (annualized)

3.67%

Key characteristics


PSKPFF
Sharpe Ratio1.461.93
Sortino Ratio2.072.70
Omega Ratio1.271.35
Calmar Ratio0.781.00
Martin Ratio6.3310.37
Ulcer Index2.01%1.50%
Daily Std Dev8.71%8.07%
Max Drawdown-30.10%-65.55%
Current Drawdown-4.95%-2.10%

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PSK vs. PFF - Expense Ratio Comparison

PSK has a 0.45% 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 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

-0.50.00.51.00.8

The correlation between PSK and PFF 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.

Risk-Adjusted Performance

PSK vs. PFF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR ICE Preferred Securities ETF (PSK) 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 PSK, currently valued at 1.46, compared to the broader market0.002.004.001.461.93
The chart of Sortino ratio for PSK, currently valued at 2.07, compared to the broader market-2.000.002.004.006.008.0010.002.072.70
The chart of Omega ratio for PSK, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.35
The chart of Calmar ratio for PSK, currently valued at 0.78, compared to the broader market0.005.0010.0015.000.781.00
The chart of Martin ratio for PSK, currently valued at 6.33, compared to the broader market0.0020.0040.0060.0080.00100.006.3310.37
PSK
PFF

The current PSK Sharpe Ratio is 1.46, which is comparable to the PFF Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of PSK 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.46
1.93
PSK
PFF

Dividends

PSK vs. PFF - Dividend Comparison

PSK's dividend yield for the trailing twelve months is around 6.28%, more than PFF's 6.16% yield.


TTM20232022202120202019201820172016201520142013
PSK
SPDR ICE Preferred Securities ETF
6.28%6.44%6.55%5.03%5.49%5.44%6.47%6.91%5.92%5.35%5.65%7.73%
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

PSK vs. PFF - Drawdown Comparison

The maximum PSK drawdown since its inception was -30.10%, smaller than the maximum PFF drawdown of -65.55%. Use the drawdown chart below to compare losses from any high point for PSK and PFF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.95%
-2.10%
PSK
PFF

Volatility

PSK vs. PFF - Volatility Comparison

SPDR ICE Preferred Securities ETF (PSK) has a higher volatility of 3.04% compared to iShares Preferred and Income Securities ETF (PFF) at 2.57%. This indicates that PSK'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.


1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
3.04%
2.57%
PSK
PFF