XRT vs. PEJ

Last updated Jun 4, 2026

XRT (SPDR S&P Retail ETF) and PEJ (Invesco Dynamic Leisure & Entertainment ETF) are both Consumer Discretionary Equities funds - XRT tracks the S&P Retail Select Industry while PEJ tracks the Dynamic Leisure and Entertainment Intellidex Index. Both are passively managed. Over the past 10 years, XRT returned 8.56%/yr vs 6.54%/yr for PEJ. A 0.75 correlation means they provide meaningful diversification when combined. XRT charges 0.35%/yr vs 0.55%/yr for PEJ.

Performance

XRT vs. PEJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Retail ETF (XRT) and Invesco Dynamic Leisure & Entertainment ETF (PEJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, XRT achieves a -1.99% return, which is significantly lower than PEJ's 1.65% return. Over the past 10 years, XRT has outperformed PEJ with an annualized return of 8.56%, while PEJ has yielded a comparatively lower 6.54% annualized return.

XRT

• 1D: -0.39%
• 1M: -0.29%
• YTD: -1.99%
• 6M: -2.00%
• 1Y: 8.44%
• 3Y*: 13.38%
• 5Y*: -0.84%
• 10Y*: 8.56%

PEJ

• 1D: -1.07%
• 1M: 4.17%
• YTD: 1.65%
• 6M: 4.67%
• 1Y: 15.85%
• 3Y*: 15.88%
• 5Y*: 3.81%
• 10Y*: 6.54%

*Multi-year figures are annualized to reflect compound growth (CAGR)

XRT vs. PEJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
XRT SPDR S&P Retail ETF	-1.99%	8.07%	11.78%	21.53%	-31.64%	42.60%	41.91%	14.12%	-8.04%	4.22%
PEJ Invesco Dynamic Leisure & Entertainment ETF	1.65%	17.78%	25.08%	15.73%	-25.37%	22.78%	-10.29%	13.82%	-9.31%	11.22%

Correlation

The correlation between XRT and PEJ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Jun 23, 2006	0.75

The correlation between XRT and PEJ has been stable across timeframes, ranging from 0.70 to 0.76 - a consistent structural relationship.

XRT vs. PEJ - Sectors Allocation Comparison

Sectors	XRT	PEJ
Consumer Cyclical	73.6%	59.7%
Consumer Defensive	20.9%	6.8%
Communication Services	1.4%	23.3%
Healthcare	1.4%	-
Technology	1.4%	4.2%
Energy	1.4%	-
Basic Materials	-	-
Financial Services	-	-
Industrials	-	10.2%
Real Estate	-	-
Utilities	-	-

Return for Risk

XRT vs. PEJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

XRT

XRT Risk / Return Rank: 15
XRT Sharpe Ratio Rank: 15
XRT Sortino Ratio Rank: 15
XRT Omega Ratio Rank: 14
XRT Calmar Ratio Rank: 16
XRT Martin Ratio Rank: 16

PEJ

PEJ Risk / Return Rank: 26
PEJ Sharpe Ratio Rank: 24
PEJ Sortino Ratio Rank: 25
PEJ Omega Ratio Rank: 23
PEJ Calmar Ratio Rank: 31
PEJ Martin Ratio Rank: 28

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

XRT vs. PEJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Retail ETF (XRT) and Invesco Dynamic Leisure & Entertainment ETF (PEJ). 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.

	XRT	PEJ	Difference
Sharpe ratio: Return per unit of total volatility	0.42	0.86	-0.45
Sortino ratio: Return per unit of downside risk	0.76	1.39	-0.63
Omega ratio: Gain probability vs. loss probability	1.08	1.16	-0.08
Calmar ratio: Return relative to maximum drawdown	0.63	1.55	-0.92
Martin ratio: Return relative to average drawdown	1.45	4.00	-2.56
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

XRT vs. PEJ - Sharpe Ratio Comparison

The current XRT Sharpe Ratio is 0.42, which is lower than the PEJ Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of XRT and PEJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	XRT	PEJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.42	0.86	-0.45
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.03	0.17	-0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.32	0.27	+0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.32	+0.02

Drawdowns

XRT vs. PEJ - Drawdown Comparison

The maximum XRT drawdown since its inception was -65.81%, roughly equal to the maximum PEJ drawdown of -66.03%. Use the drawdown chart below to compare losses from any high point for XRT and PEJ.

Drawdown Indicators

	XRT	PEJ	Difference
Max Drawdown Largest peak-to-trough decline	-65.81%	-66.03%	+0.22%
Max Drawdown (1Y) Largest decline over 1 year	-13.53%	-10.29%	-3.24%
Max Drawdown (3Y) Largest decline over 3 years	-25.62%	-25.75%	+0.13%
Max Drawdown (5Y) Largest decline over 5 years	-44.57%	-35.44%	-9.13%
Max Drawdown (10Y) Largest decline over 10 years	-47.02%	-58.96%	+11.94%
Current Drawdown Current decline from peak	-13.82%	-2.58%	-11.24%
Average Drawdown Average peak-to-trough decline	-15.00%	-12.32%	-2.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.85%	3.97%	+1.88%

Volatility

XRT vs. PEJ - Volatility Comparison

SPDR S&P Retail ETF (XRT) has a higher volatility of 6.50% compared to Invesco Dynamic Leisure & Entertainment ETF (PEJ) at 5.92%. This indicates that XRT's price experiences larger fluctuations and is considered to be riskier than PEJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	XRT	PEJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.50%	5.92%	+0.58%
Volatility (6M) Calculated over the trailing 6-month period	13.63%	13.90%	-0.27%
Volatility (1Y) Calculated over the trailing 1-year period	20.42%	18.48%	+1.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	26.90%	22.79%	+4.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.16%	24.75%	+2.41%

XRT vs. PEJ - Expense Ratio Comparison

XRT has a 0.35% expense ratio, which is lower than PEJ's 0.55% expense ratio.

Dividends

XRT vs. PEJ - Dividend Comparison

XRT's dividend yield for the trailing twelve months is around 0.83%, more than PEJ's 0.39% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PEJ Invesco Dynamic Leisure & Entertainment ETF	0.39%	0.24%	0.40%	0.46%	0.43%	0.34%	0.92%	0.39%	0.78%	0.68%	0.68%	0.52%
XRT SPDR S&P Retail ETF	0.83%	0.77%	1.52%	1.40%	2.15%	1.55%	1.01%	1.57%	1.51%	1.52%	1.36%	1.30%

Frequently Asked Questions

Can I hold both XRT and PEJ in my portfolio?

XRT and PEJ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XRT or PEJ?

XRT has higher volatility (6.50%) compared to PEJ (5.92%). In terms of maximum drawdown, XRT dropped -65.81% vs PEJ's -66.03%.

Which ETF is better, XRT or PEJ?

On 10-year performance, XRT leads with 8.56% vs 6.54% for PEJ. On fees, XRT is cheaper at 0.35% per year. On volatility, PEJ has been the lower-risk option at 5.92%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, XRT or PEJ?

Over the 10-year period, XRT has performed better with a 8.56% return vs 6.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, XRT or PEJ?

XRT is cheaper with a 0.35% expense ratio, compared with 0.55% for PEJ.

Which ETF pays a higher dividend yield, XRT or PEJ?

XRT has the higher dividend yield at 0.83%, compared with 0.39% for PEJ.

What is the main difference between XRT and PEJ?

XRT tracks S&P Retail Select Industry, while PEJ tracks Dynamic Leisure and Entertainment Intellidex Index. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.35% for XRT and 0.55% for PEJ.

Which has better risk-adjusted returns?

PEJ currently has the higher Sharpe Ratio (0.86 vs 0.42), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.