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

Correlation

The correlation between VRP and PSK is 0.54, 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.


-0.50.00.51.00.5

Performance

VRP vs. PSK - Performance Comparison

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

0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.43%
1.97%
VRP
PSK

Key characteristics

Sharpe Ratio

VRP:

2.49

PSK:

0.61

Sortino Ratio

VRP:

3.59

PSK:

0.88

Omega Ratio

VRP:

1.48

PSK:

1.11

Calmar Ratio

VRP:

6.02

PSK:

0.42

Martin Ratio

VRP:

24.41

PSK:

2.27

Ulcer Index

VRP:

0.46%

PSK:

2.27%

Daily Std Dev

VRP:

4.56%

PSK:

8.46%

Max Drawdown

VRP:

-46.04%

PSK:

-30.10%

Current Drawdown

VRP:

-0.74%

PSK:

-7.06%

Returns By Period

In the year-to-date period, VRP achieves a 11.28% return, which is significantly higher than PSK's 5.78% return. Over the past 10 years, VRP has outperformed PSK with an annualized return of 5.16%, while PSK has yielded a comparatively lower 3.33% annualized return.


VRP

YTD

11.28%

1M

-0.13%

6M

4.43%

1Y

11.33%

5Y*

4.20%

10Y*

5.16%

PSK

YTD

5.78%

1M

-2.30%

6M

1.97%

1Y

5.12%

5Y*

0.29%

10Y*

3.33%

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. PSK - Expense Ratio Comparison

VRP has a 0.50% expense ratio, which is higher than PSK's 0.45% 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 PSK: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Risk-Adjusted Performance

VRP vs. PSK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) and SPDR ICE Preferred Securities ETF (PSK). 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 2.49, compared to the broader market0.002.004.002.490.61
The chart of Sortino ratio for VRP, currently valued at 3.59, compared to the broader market-2.000.002.004.006.008.0010.003.590.88
The chart of Omega ratio for VRP, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.11
The chart of Calmar ratio for VRP, currently valued at 6.02, compared to the broader market0.005.0010.0015.006.020.42
The chart of Martin ratio for VRP, currently valued at 24.41, compared to the broader market0.0020.0040.0060.0080.00100.0024.412.27
VRP
PSK

The current VRP Sharpe Ratio is 2.49, which is higher than the PSK Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of VRP and PSK, 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 Ratio1.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.49
0.61
VRP
PSK

Dividends

VRP vs. PSK - Dividend Comparison

VRP's dividend yield for the trailing twelve months is around 5.77%, less than PSK's 7.07% yield.


TTM20232022202120202019201820172016201520142013
VRP
Invesco Variable Rate Preferred ETF
5.77%6.61%5.38%4.26%4.18%5.15%5.28%4.68%5.10%5.02%3.04%0.00%
PSK
SPDR ICE Preferred Securities ETF
7.07%6.44%6.55%5.03%5.49%5.44%6.47%6.91%5.92%5.35%5.65%7.73%

Drawdowns

VRP vs. PSK - Drawdown Comparison

The maximum VRP drawdown since its inception was -46.04%, which is greater than PSK's maximum drawdown of -30.10%. Use the drawdown chart below to compare losses from any high point for VRP and PSK. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.74%
-7.06%
VRP
PSK

Volatility

VRP vs. PSK - Volatility Comparison

The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 1.42%, while SPDR ICE Preferred Securities ETF (PSK) has a volatility of 2.33%. This indicates that VRP experiences smaller price fluctuations and is considered to be less risky than PSK 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%JulyAugustSeptemberOctoberNovemberDecember
1.42%
2.33%
VRP
PSK
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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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