VRP vs. SPY
Compare and contrast key facts about Invesco Variable Rate Preferred ETF (VRP) and SPDR S&P 500 ETF (SPY).
VRP and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VRP is a passively managed fund by Invesco that tracks the performance of the Wells Fargo Hybrid and Preferred Securities Floating and Variable Rate Index. It was launched on May 1, 2014. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both VRP and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VRP or SPY.
Performance
VRP vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, VRP achieves a 11.20% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, VRP has underperformed SPY with an annualized return of 5.08%, while SPY has yielded a comparatively higher 13.10% annualized return.
VRP
11.20%
0.26%
5.45%
15.47%
4.35%
5.08%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| VRP | SPY | |
|---|---|---|
| Sharpe Ratio | 3.43 | 2.70 |
| Sortino Ratio | 5.16 | 3.60 |
| Omega Ratio | 1.71 | 1.50 |
| Calmar Ratio | 3.85 | 3.90 |
| Martin Ratio | 35.11 | 17.52 |
| Ulcer Index | 0.44% | 1.87% |
| Daily Std Dev | 4.56% | 12.14% |
| Max Drawdown | -46.04% | -55.19% |
| Current Drawdown | -0.23% | -0.85% |
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VRP vs. SPY - Expense Ratio Comparison
VRP has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between VRP and SPY is 0.41, 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.
Risk-Adjusted Performance
VRP vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) and SPDR S&P 500 ETF (SPY). 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.
Dividends
VRP vs. SPY - Dividend Comparison
VRP's dividend yield for the trailing twelve months is around 5.87%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VRP Invesco Variable Rate Preferred ETF | 5.87% | 6.61% | 5.38% | 4.26% | 4.18% | 5.15% | 5.28% | 4.68% | 5.10% | 5.02% | 3.04% | 0.00% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
VRP vs. SPY - Drawdown Comparison
The maximum VRP drawdown since its inception was -46.04%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VRP and SPY. For additional features, visit the drawdowns tool.
Volatility
VRP vs. SPY - Volatility Comparison
The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 0.92%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that VRP experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.