PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TRFK vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


TRFK^SP500TR
YTD Return40.06%27.29%
1Y Return59.37%37.86%
Sharpe Ratio2.493.24
Sortino Ratio3.094.29
Omega Ratio1.411.61
Calmar Ratio3.664.74
Martin Ratio11.9021.46
Ulcer Index5.30%1.87%
Daily Std Dev25.25%12.29%
Max Drawdown-21.86%-55.25%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between TRFK and ^SP500TR is 0.70, 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.

Performance

TRFK vs. ^SP500TR - Performance Comparison

In the year-to-date period, TRFK achieves a 40.06% return, which is significantly higher than ^SP500TR's 27.29% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
25.16%
15.71%
TRFK
^SP500TR

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

TRFK vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Pacer Data and Digital Revolution ETF (TRFK) and S&P 500 Total Return (^SP500TR). 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.


TRFK
Sharpe ratio
The chart of Sharpe ratio for TRFK, currently valued at 2.49, compared to the broader market-2.000.002.004.006.002.49
Sortino ratio
The chart of Sortino ratio for TRFK, currently valued at 3.09, compared to the broader market0.005.0010.003.09
Omega ratio
The chart of Omega ratio for TRFK, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for TRFK, currently valued at 3.66, compared to the broader market0.005.0010.0015.003.66
Martin ratio
The chart of Martin ratio for TRFK, currently valued at 11.90, compared to the broader market0.0020.0040.0060.0080.00100.0011.90
^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 21.46, compared to the broader market0.0020.0040.0060.0080.00100.0021.46

TRFK vs. ^SP500TR - Sharpe Ratio Comparison

The current TRFK Sharpe Ratio is 2.49, which is comparable to the ^SP500TR Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of TRFK and ^SP500TR, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.49
3.24
TRFK
^SP500TR

Drawdowns

TRFK vs. ^SP500TR - Drawdown Comparison

The maximum TRFK drawdown since its inception was -21.86%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for TRFK and ^SP500TR. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
TRFK
^SP500TR

Volatility

TRFK vs. ^SP500TR - Volatility Comparison

Pacer Data and Digital Revolution ETF (TRFK) has a higher volatility of 6.84% compared to S&P 500 Total Return (^SP500TR) at 3.89%. This indicates that TRFK's price experiences larger fluctuations and is considered to be riskier than ^SP500TR 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%JuneJulyAugustSeptemberOctoberNovember
6.84%
3.89%
TRFK
^SP500TR