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SPHD vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SPHD and ^GSPC is 0.71, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

SPHD vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%December2025FebruaryMarchApril
-2.59%
-2.79%
SPHD
^GSPC

Key characteristics

Sharpe Ratio

SPHD:

0.94

^GSPC:

0.47

Sortino Ratio

SPHD:

1.33

^GSPC:

0.79

Omega Ratio

SPHD:

1.19

^GSPC:

1.12

Calmar Ratio

SPHD:

1.02

^GSPC:

0.49

Martin Ratio

SPHD:

3.61

^GSPC:

1.94

Ulcer Index

SPHD:

3.74%

^GSPC:

4.73%

Daily Std Dev

SPHD:

14.33%

^GSPC:

19.42%

Max Drawdown

SPHD:

-41.39%

^GSPC:

-56.78%

Current Drawdown

SPHD:

-6.99%

^GSPC:

-9.36%

Returns By Period

In the year-to-date period, SPHD achieves a -0.65% return, which is significantly higher than ^GSPC's -5.31% return. Over the past 10 years, SPHD has underperformed ^GSPC with an annualized return of 7.99%, while ^GSPC has yielded a comparatively higher 10.23% annualized return.


SPHD

YTD

-0.65%

1M

-5.25%

6M

-3.37%

1Y

13.30%

5Y*

12.89%

10Y*

7.99%

^GSPC

YTD

-5.31%

1M

-0.76%

6M

-4.21%

1Y

10.59%

5Y*

14.55%

10Y*

10.23%

*Annualized

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Risk-Adjusted Performance

SPHD vs. ^GSPC — Risk-Adjusted Performance Rank

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

SPHD
The Risk-Adjusted Performance Rank of SPHD is 7777
Overall Rank
The Sharpe Ratio Rank of SPHD is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of SPHD is 7575
Sortino Ratio Rank
The Omega Ratio Rank of SPHD is 7777
Omega Ratio Rank
The Calmar Ratio Rank of SPHD is 8282
Calmar Ratio Rank
The Martin Ratio Rank of SPHD is 7777
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6666
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6262
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6767
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
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.

SPHD vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) and S&P 500 (^GSPC). 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 chart of Sharpe ratio for SPHD, currently valued at 0.94, compared to the broader market-1.000.001.002.003.004.00
SPHD: 0.94
^GSPC: 0.47
The chart of Sortino ratio for SPHD, currently valued at 1.33, compared to the broader market-2.000.002.004.006.008.00
SPHD: 1.33
^GSPC: 0.79
The chart of Omega ratio for SPHD, currently valued at 1.19, compared to the broader market0.501.001.502.002.50
SPHD: 1.19
^GSPC: 1.12
The chart of Calmar ratio for SPHD, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.00
SPHD: 1.02
^GSPC: 0.49
The chart of Martin ratio for SPHD, currently valued at 3.61, compared to the broader market0.0020.0040.0060.00
SPHD: 3.61
^GSPC: 1.94

The current SPHD Sharpe Ratio is 0.94, which is higher than the ^GSPC Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of SPHD and ^GSPC, 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 Ratio0.001.002.003.00December2025FebruaryMarchApril
0.94
0.47
SPHD
^GSPC

Drawdowns

SPHD vs. ^GSPC - Drawdown Comparison

The maximum SPHD drawdown since its inception was -41.39%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SPHD and ^GSPC. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchApril
-6.99%
-9.36%
SPHD
^GSPC

Volatility

SPHD vs. ^GSPC - Volatility Comparison

The current volatility for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) is 9.62%, while S&P 500 (^GSPC) has a volatility of 14.10%. This indicates that SPHD experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchApril
9.62%
14.10%
SPHD
^GSPC