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

Performance

PSK vs. PGX - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.51%
5.99%
PSK
PGX

Returns By Period

In the year-to-date period, PSK achieves a 7.20% return, which is significantly lower than PGX's 8.79% return. Over the past 10 years, PSK has underperformed PGX with an annualized return of 3.40%, while PGX has yielded a comparatively higher 3.60% annualized return.


PSK

YTD

7.20%

1M

-2.98%

6M

4.51%

1Y

11.70%

5Y (annualized)

0.87%

10Y (annualized)

3.40%

PGX

YTD

8.79%

1M

-2.80%

6M

5.99%

1Y

14.12%

5Y (annualized)

1.10%

10Y (annualized)

3.60%

Key characteristics


PSKPGX
Sharpe Ratio1.281.46
Sortino Ratio1.822.10
Omega Ratio1.231.26
Calmar Ratio0.690.74
Martin Ratio5.566.74
Ulcer Index2.00%2.03%
Daily Std Dev8.69%9.42%
Max Drawdown-30.10%-66.42%
Current Drawdown-5.81%-6.37%

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PSK vs. PGX - Expense Ratio Comparison

PSK has a 0.45% expense ratio, which is lower than PGX's 0.52% expense ratio.


PGX
Invesco Preferred ETF
Expense ratio chart for PGX: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%
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 PGX is 0.82, 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. PGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR ICE Preferred Securities ETF (PSK) and Invesco Preferred ETF (PGX). 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 1.28, compared to the broader market0.002.004.001.281.46
The chart of Sortino ratio for PSK, currently valued at 1.82, compared to the broader market-2.000.002.004.006.008.0010.0012.001.822.10
The chart of Omega ratio for PSK, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.26
The chart of Calmar ratio for PSK, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.690.74
The chart of Martin ratio for PSK, currently valued at 5.56, compared to the broader market0.0020.0040.0060.0080.00100.005.566.74
PSK
PGX

The current PSK Sharpe Ratio is 1.28, which is comparable to the PGX Sharpe Ratio of 1.46. The chart below compares the historical Sharpe Ratios of PSK and PGX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.28
1.46
PSK
PGX

Dividends

PSK vs. PGX - Dividend Comparison

PSK's dividend yield for the trailing twelve months is around 6.33%, more than PGX's 5.93% yield.


TTM20232022202120202019201820172016201520142013
PSK
SPDR ICE Preferred Securities ETF
6.33%6.44%6.55%5.03%5.49%5.44%6.47%6.91%5.92%5.35%5.65%7.73%
PGX
Invesco Preferred ETF
5.93%6.42%6.29%4.82%4.89%5.30%6.08%5.66%6.02%5.84%5.98%6.78%

Drawdowns

PSK vs. PGX - Drawdown Comparison

The maximum PSK drawdown since its inception was -30.10%, smaller than the maximum PGX drawdown of -66.42%. Use the drawdown chart below to compare losses from any high point for PSK and PGX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-5.81%
-6.37%
PSK
PGX

Volatility

PSK vs. PGX - Volatility Comparison

SPDR ICE Preferred Securities ETF (PSK) and Invesco Preferred ETF (PGX) have volatilities of 2.93% and 3.03%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.93%
3.03%
PSK
PGX