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PRF vs. RSP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PRF vs. RSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco FTSE RAFI US 1000 ETF (PRF) and Invesco S&P 500® Equal Weight ETF (RSP). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.55%
12.55%
PRF
RSP

Returns By Period

In the year-to-date period, PRF achieves a 21.29% return, which is significantly higher than RSP's 18.07% return. Both investments have delivered pretty close results over the past 10 years, with PRF having a 10.90% annualized return and RSP not far behind at 10.53%.


PRF

YTD

21.29%

1M

2.81%

6M

12.55%

1Y

29.30%

5Y (annualized)

13.67%

10Y (annualized)

10.90%

RSP

YTD

18.07%

1M

2.55%

6M

12.56%

1Y

27.69%

5Y (annualized)

12.44%

10Y (annualized)

10.53%

Key characteristics


PRFRSP
Sharpe Ratio2.722.47
Sortino Ratio3.763.42
Omega Ratio1.501.44
Calmar Ratio5.083.58
Martin Ratio17.7514.19
Ulcer Index1.68%1.99%
Daily Std Dev10.99%11.47%
Max Drawdown-60.35%-59.92%
Current Drawdown-0.35%-0.51%

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PRF vs. RSP - Expense Ratio Comparison

PRF has a 0.39% expense ratio, which is higher than RSP's 0.20% expense ratio.


PRF
Invesco FTSE RAFI US 1000 ETF
Expense ratio chart for PRF: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for RSP: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.01.0

The correlation between PRF and RSP is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

PRF vs. RSP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) and Invesco S&P 500® Equal Weight ETF (RSP). 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 PRF, currently valued at 2.72, compared to the broader market0.002.004.002.722.47
The chart of Sortino ratio for PRF, currently valued at 3.76, compared to the broader market-2.000.002.004.006.008.0010.0012.003.763.42
The chart of Omega ratio for PRF, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.44
The chart of Calmar ratio for PRF, currently valued at 5.08, compared to the broader market0.005.0010.0015.005.083.58
The chart of Martin ratio for PRF, currently valued at 17.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.7514.19
PRF
RSP

The current PRF Sharpe Ratio is 2.72, which is comparable to the RSP Sharpe Ratio of 2.47. The chart below compares the historical Sharpe Ratios of PRF and RSP, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
2.47
PRF
RSP

Dividends

PRF vs. RSP - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.67%, more than RSP's 1.44% yield.


TTM20232022202120202019201820172016201520142013
PRF
Invesco FTSE RAFI US 1000 ETF
1.67%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%1.56%
RSP
Invesco S&P 500® Equal Weight ETF
1.44%1.63%1.82%1.28%1.64%1.69%2.02%1.52%1.20%1.70%1.46%1.27%

Drawdowns

PRF vs. RSP - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, roughly equal to the maximum RSP drawdown of -59.92%. Use the drawdown chart below to compare losses from any high point for PRF and RSP. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.35%
-0.51%
PRF
RSP

Volatility

PRF vs. RSP - Volatility Comparison

Invesco FTSE RAFI US 1000 ETF (PRF) has a higher volatility of 4.00% compared to Invesco S&P 500® Equal Weight ETF (RSP) at 3.63%. This indicates that PRF's price experiences larger fluctuations and is considered to be riskier than RSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
3.63%
PRF
RSP