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

Key characteristics


VRPPFFV
YTD Return11.33%10.45%
1Y Return16.67%15.11%
3Y Return (Ann)3.82%2.03%
Sharpe Ratio3.802.39
Sortino Ratio5.763.49
Omega Ratio1.801.45
Calmar Ratio3.591.73
Martin Ratio39.7717.65
Ulcer Index0.44%0.89%
Daily Std Dev4.58%6.59%
Max Drawdown-46.04%-18.95%
Current Drawdown-0.12%-1.43%

Correlation

-0.50.00.51.00.6

The correlation between VRP and PFFV is 0.55, 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

VRP vs. PFFV - Performance Comparison

In the year-to-date period, VRP achieves a 11.33% return, which is significantly higher than PFFV's 10.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.84%
6.23%
VRP
PFFV

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VRP vs. PFFV - Expense Ratio Comparison

VRP has a 0.50% expense ratio, which is higher than PFFV's 0.25% expense ratio.


VRP
Invesco Variable Rate Preferred ETF
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%
Expense ratio chart for PFFV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

VRP vs. PFFV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) and Global X Variable Rate Preferred ETF (PFFV). 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.


VRP
Sharpe ratio
The chart of Sharpe ratio for VRP, currently valued at 3.80, compared to the broader market-2.000.002.004.006.003.80
Sortino ratio
The chart of Sortino ratio for VRP, currently valued at 5.76, compared to the broader market0.005.0010.005.76
Omega ratio
The chart of Omega ratio for VRP, currently valued at 1.80, compared to the broader market1.001.502.002.503.001.80
Calmar ratio
The chart of Calmar ratio for VRP, currently valued at 3.59, compared to the broader market0.005.0010.0015.003.59
Martin ratio
The chart of Martin ratio for VRP, currently valued at 39.77, compared to the broader market0.0020.0040.0060.0080.00100.0039.77
PFFV
Sharpe ratio
The chart of Sharpe ratio for PFFV, currently valued at 2.39, compared to the broader market-2.000.002.004.006.002.39
Sortino ratio
The chart of Sortino ratio for PFFV, currently valued at 3.49, compared to the broader market0.005.0010.003.49
Omega ratio
The chart of Omega ratio for PFFV, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for PFFV, currently valued at 1.73, compared to the broader market0.005.0010.0015.001.73
Martin ratio
The chart of Martin ratio for PFFV, currently valued at 17.65, compared to the broader market0.0020.0040.0060.0080.00100.0017.65

VRP vs. PFFV - Sharpe Ratio Comparison

The current VRP Sharpe Ratio is 3.80, which is higher than the PFFV Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of VRP and PFFV, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.80
2.39
VRP
PFFV

Dividends

VRP vs. PFFV - Dividend Comparison

VRP's dividend yield for the trailing twelve months is around 5.93%, less than PFFV's 7.29% yield.


TTM2023202220212020201920182017201620152014
VRP
Invesco Variable Rate Preferred ETF
5.93%6.61%5.38%4.26%4.18%5.15%5.28%4.68%5.10%5.02%3.04%
PFFV
Global X Variable Rate Preferred ETF
7.29%7.17%6.60%5.25%2.69%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VRP vs. PFFV - Drawdown Comparison

The maximum VRP drawdown since its inception was -46.04%, which is greater than PFFV's maximum drawdown of -18.95%. Use the drawdown chart below to compare losses from any high point for VRP and PFFV. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.12%
-1.43%
VRP
PFFV

Volatility

VRP vs. PFFV - Volatility Comparison

The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 1.11%, while Global X Variable Rate Preferred ETF (PFFV) has a volatility of 2.90%. This indicates that VRP experiences smaller price fluctuations and is considered to be less risky than PFFV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
1.11%
2.90%
VRP
PFFV