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

Correlation

The correlation between PY and SPY is 0.59, 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.


-0.50.00.51.00.6

Performance

PY vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Principal Value ETF (PY) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.26%
7.86%
PY
SPY

Key characteristics

Sharpe Ratio

PY:

1.39

SPY:

2.03

Sortino Ratio

PY:

1.96

SPY:

2.71

Omega Ratio

PY:

1.25

SPY:

1.38

Calmar Ratio

PY:

2.67

SPY:

3.02

Martin Ratio

PY:

8.04

SPY:

13.49

Ulcer Index

PY:

2.03%

SPY:

1.88%

Daily Std Dev

PY:

11.74%

SPY:

12.48%

Max Drawdown

PY:

-45.44%

SPY:

-55.19%

Current Drawdown

PY:

-6.03%

SPY:

-3.54%

Returns By Period

In the year-to-date period, PY achieves a 15.73% return, which is significantly lower than SPY's 24.51% return.


PY

YTD

15.73%

1M

-3.43%

6M

8.38%

1Y

15.57%

5Y*

11.04%

10Y*

N/A

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

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


PY vs. SPY - Expense Ratio Comparison

PY has a 0.15% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


PY
Principal Value ETF
Expense ratio chart for PY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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

PY vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Principal Value ETF (PY) 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.


Sharpe ratio
The chart of Sharpe ratio for PY, currently valued at 1.39, compared to the broader market0.002.004.001.392.03
The chart of Sortino ratio for PY, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.001.962.71
The chart of Omega ratio for PY, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.38
The chart of Calmar ratio for PY, currently valued at 2.67, compared to the broader market0.005.0010.0015.002.673.02
The chart of Martin ratio for PY, currently valued at 8.04, compared to the broader market0.0020.0040.0060.0080.00100.008.0413.49
PY
SPY

The current PY Sharpe Ratio is 1.39, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of PY 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.39
2.03
PY
SPY

Dividends

PY vs. SPY - Dividend Comparison

PY's dividend yield for the trailing twelve months is around 2.23%, more than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
PY
Principal Value ETF
2.23%2.68%3.02%2.83%2.95%2.29%2.35%1.69%1.95%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PY vs. SPY - Drawdown Comparison

The maximum PY drawdown since its inception was -45.44%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PY and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.03%
-3.54%
PY
SPY

Volatility

PY vs. SPY - Volatility Comparison

Principal Value ETF (PY) and SPDR S&P 500 ETF (SPY) have volatilities of 3.54% and 3.64%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.54%
3.64%
PY
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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