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VRP vs. FPEI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VRP and FPEI is 0.44, 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.


-0.50.00.51.00.4

Performance

VRP vs. FPEI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Variable Rate Preferred ETF (VRP) and First Trust Institutional Preferred Securities & Income ETF (FPEI). The values are adjusted to include any dividend payments, if applicable.

30.00%32.00%34.00%36.00%38.00%JulyAugustSeptemberOctoberNovemberDecember
36.60%
37.15%
VRP
FPEI

Key characteristics

Sharpe Ratio

VRP:

2.51

FPEI:

3.24

Sortino Ratio

VRP:

3.63

FPEI:

4.88

Omega Ratio

VRP:

1.49

FPEI:

1.69

Calmar Ratio

VRP:

6.09

FPEI:

2.83

Martin Ratio

VRP:

24.80

FPEI:

21.48

Ulcer Index

VRP:

0.46%

FPEI:

0.51%

Daily Std Dev

VRP:

4.56%

FPEI:

3.40%

Max Drawdown

VRP:

-46.04%

FPEI:

-27.51%

Current Drawdown

VRP:

-0.94%

FPEI:

-0.97%

Returns By Period

The year-to-date returns for both stocks are quite close, with VRP having a 11.07% return and FPEI slightly lower at 10.66%.


VRP

YTD

11.07%

1M

-0.12%

6M

4.09%

1Y

11.12%

5Y*

4.14%

10Y*

5.11%

FPEI

YTD

10.66%

1M

0.03%

6M

4.69%

1Y

10.82%

5Y*

3.86%

10Y*

N/A

Compare stocks, funds, or ETFs

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


VRP vs. FPEI - Expense Ratio Comparison

VRP has a 0.50% expense ratio, which is lower than FPEI's 0.85% expense ratio.


FPEI
First Trust Institutional Preferred Securities & Income ETF
Expense ratio chart for FPEI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for VRP: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

VRP vs. FPEI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) and First Trust Institutional Preferred Securities & Income ETF (FPEI). 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 VRP, currently valued at 2.51, compared to the broader market0.002.004.002.513.24
The chart of Sortino ratio for VRP, currently valued at 3.63, compared to the broader market-2.000.002.004.006.008.0010.003.634.88
The chart of Omega ratio for VRP, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.69
The chart of Calmar ratio for VRP, currently valued at 6.09, compared to the broader market0.005.0010.0015.006.092.83
The chart of Martin ratio for VRP, currently valued at 24.80, compared to the broader market0.0020.0040.0060.0080.00100.0024.8021.48
VRP
FPEI

The current VRP Sharpe Ratio is 2.51, which is comparable to the FPEI Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of VRP and FPEI, 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 Ratio2.002.503.003.504.004.505.005.50JulyAugustSeptemberOctoberNovemberDecember
2.51
3.24
VRP
FPEI

Dividends

VRP vs. FPEI - Dividend Comparison

VRP's dividend yield for the trailing twelve months is around 5.19%, less than FPEI's 6.04% yield.


TTM2023202220212020201920182017201620152014
VRP
Invesco Variable Rate Preferred ETF
5.19%6.61%5.38%4.26%4.18%5.15%5.28%4.68%5.10%5.02%3.04%
FPEI
First Trust Institutional Preferred Securities & Income ETF
5.57%5.75%5.20%4.46%4.91%5.02%5.83%1.49%0.00%0.00%0.00%

Drawdowns

VRP vs. FPEI - Drawdown Comparison

The maximum VRP drawdown since its inception was -46.04%, which is greater than FPEI's maximum drawdown of -27.51%. Use the drawdown chart below to compare losses from any high point for VRP and FPEI. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.94%
-0.97%
VRP
FPEI

Volatility

VRP vs. FPEI - Volatility Comparison

Invesco Variable Rate Preferred ETF (VRP) has a higher volatility of 1.41% compared to First Trust Institutional Preferred Securities & Income ETF (FPEI) at 0.83%. This indicates that VRP's price experiences larger fluctuations and is considered to be riskier than FPEI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.41%
0.83%
VRP
FPEI
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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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