ABYIX vs. RWL

Last updated Jun 3, 2026

ABYIX (Abbey Capital Futures Strategy Fund Class I) and RWL (Invesco S&P 500 Revenue ETF) are both funds - ABYIX is a Systematic Trend fund managed by Abbey Capital, while RWL is a S&P 500 fund tracking the S&P 500 Revenue-Weighted Index. Over the past 10 years, ABYIX returned 3.51%/yr vs 14.01%/yr for RWL. At a 0.10 correlation, their price movements are largely independent. ABYIX charges 1.79%/yr vs 0.39%/yr for RWL.

Performance

ABYIX vs. RWL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Futures Strategy Fund Class I (ABYIX) and Invesco S&P 500 Revenue ETF (RWL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ABYIX achieves a 7.61% return, which is significantly lower than RWL's 11.54% return. Over the past 10 years, ABYIX has underperformed RWL with an annualized return of 3.51%, while RWL has yielded a comparatively higher 14.01% annualized return.

ABYIX

• 1D: 0.76%
• 1M: 0.76%
• YTD: 7.61%
• 6M: 8.95%
• 1Y: 15.65%
• 3Y*: 2.67%
• 5Y*: 3.54%
• 10Y*: 3.51%

RWL

• 1D: -0.16%
• 1M: 3.00%
• YTD: 11.54%
• 6M: 12.61%
• 1Y: 28.01%
• 3Y*: 20.12%
• 5Y*: 13.07%
• 10Y*: 14.01%

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

ABYIX vs. RWL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABYIX Abbey Capital Futures Strategy Fund Class I	7.61%	1.62%	1.11%	-3.29%	17.06%	3.39%	7.92%	8.84%	-6.15%	-0.09%
RWL Invesco S&P 500 Revenue ETF	11.54%	18.65%	16.45%	17.43%	-6.00%	30.29%	9.14%	27.83%	-7.74%	20.34%

Correlation

The correlation between ABYIX and RWL is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.32
Correlation (3Y) Calculated over the trailing 3-year period	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.08
Correlation (10Y) Calculated over the trailing 10-year period	0.13
Correlation (All Time) Calculated using the full available price history since Jul 7, 2014	0.10

Over the past year, ABYIX and RWL have become more correlated (0.32) than their long-term average of 0.10, meaning their price movements have been converging.

Return for Risk

ABYIX vs. RWL — Risk / Return Rank

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

ABYIX

ABYIX Risk / Return Rank: 63
ABYIX Sharpe Ratio Rank: 49
ABYIX Sortino Ratio Rank: 46
ABYIX Omega Ratio Rank: 48
ABYIX Calmar Ratio Rank: 94
ABYIX Martin Ratio Rank: 79

RWL

RWL Risk / Return Rank: 84
RWL Sharpe Ratio Rank: 85
RWL Sortino Ratio Rank: 86
RWL Omega Ratio Rank: 82
RWL Calmar Ratio Rank: 81
RWL Martin Ratio Rank: 85

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.

ABYIX vs. RWL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and Invesco S&P 500 Revenue ETF (RWL). 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.

	ABYIX	RWL	Difference
Sharpe ratio Return per unit of total volatility	2.06	2.82	-0.76
Sortino ratio Return per unit of downside risk	2.86	3.92	-1.06
Omega ratio Gain probability vs. loss probability	1.38	1.50	-0.12
Calmar ratio Return relative to maximum drawdown	5.48	4.26	+1.22
Martin ratio Return relative to average drawdown	14.91	18.04	-3.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABYIX vs. RWL - Sharpe Ratio Comparison

The current ABYIX Sharpe Ratio is 2.06, which is comparable to the RWL Sharpe Ratio of 2.82. The chart below compares the historical Sharpe Ratios of ABYIX and RWL, 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

	ABYIX	RWL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.06	2.82	-0.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.91	-0.46
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.44	0.83	-0.39
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.58	-0.02

Drawdowns

ABYIX vs. RWL - Drawdown Comparison

The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum RWL drawdown of -54.83%. Use the drawdown chart below to compare losses from any high point for ABYIX and RWL.

Drawdown Indicators

	ABYIX	RWL	Difference
Max Drawdown Largest peak-to-trough decline	-17.13%	-54.83%	+37.70%
Max Drawdown (1Y) Largest decline over 1 year	-2.85%	-6.64%	+3.79%
Max Drawdown (3Y) Largest decline over 3 years	-14.00%	-14.39%	+0.39%
Max Drawdown (5Y) Largest decline over 5 years	-14.66%	-17.49%	+2.83%
Max Drawdown (10Y) Largest decline over 10 years	-14.74%	-36.04%	+21.30%
Current Drawdown Current decline from peak	-1.08%	-0.16%	-0.92%
Average Drawdown Average peak-to-trough decline	-6.66%	-6.45%	-0.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	1.57%	-0.52%

Volatility

ABYIX vs. RWL - Volatility Comparison

Abbey Capital Futures Strategy Fund Class I (ABYIX) and Invesco S&P 500 Revenue ETF (RWL) have volatilities of 2.09% and 2.16%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABYIX	RWL	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.09%	2.16%	-0.07%
Volatility (6M) Calculated over the trailing 6-month period	5.91%	7.14%	-1.23%
Volatility (1Y) Calculated over the trailing 1-year period	7.71%	9.99%	-2.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.99%	14.50%	-6.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.02%	16.86%	-8.84%

ABYIX vs. RWL - Expense Ratio Comparison

ABYIX has a 1.79% expense ratio, which is higher than RWL's 0.39% expense ratio.

Dividends

ABYIX vs. RWL - Dividend Comparison

ABYIX's dividend yield for the trailing twelve months is around 1.23%, which matches RWL's 1.24% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABYIX Abbey Capital Futures Strategy Fund Class I	1.23%	1.33%	2.10%	2.03%	15.24%	3.68%	1.54%	8.70%	0.14%	0.00%	0.00%	0.24%
RWL Invesco S&P 500 Revenue ETF	1.24%	1.35%	1.43%	1.60%	1.62%	1.35%	1.75%	1.87%	1.99%	1.60%	1.71%	1.97%

Frequently Asked Questions

Can I hold both ABYIX and RWL in my portfolio?

ABYIX and RWL have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABYIX or RWL?

RWL has higher volatility (2.16%) compared to ABYIX (2.09%). In terms of maximum drawdown, ABYIX dropped -17.13% vs RWL's -54.83%.

Which has better risk-adjusted returns?

RWL currently has the higher Sharpe Ratio (2.82 vs 2.06), 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.