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RGI vs. IEFA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RGI and IEFA is 0.72, 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.


-0.50.00.51.00.7

Performance

RGI vs. IEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Equal Weight Industrials ETF (RGI) and iShares Core MSCI EAFE ETF (IEFA). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
18.86%
0.68%
RGI
IEFA

Key characteristics

Sharpe Ratio

RGI:

2.42

IEFA:

1.01

Sortino Ratio

RGI:

3.43

IEFA:

1.46

Omega Ratio

RGI:

1.42

IEFA:

1.18

Calmar Ratio

RGI:

0.69

IEFA:

1.49

Martin Ratio

RGI:

14.08

IEFA:

4.09

Ulcer Index

RGI:

2.39%

IEFA:

3.18%

Daily Std Dev

RGI:

13.93%

IEFA:

12.84%

Max Drawdown

RGI:

-82.66%

IEFA:

-34.78%

Current Drawdown

RGI:

-31.59%

IEFA:

-5.36%

Returns By Period

In the year-to-date period, RGI achieves a 26.33% return, which is significantly higher than IEFA's 7.80% return. Over the past 10 years, RGI has outperformed IEFA with an annualized return of 12.88%, while IEFA has yielded a comparatively lower 5.99% annualized return.


RGI

YTD

26.33%

1M

-0.86%

6M

18.86%

1Y

33.06%

5Y (annualized)

16.43%

10Y (annualized)

12.88%

IEFA

YTD

7.80%

1M

0.96%

6M

0.67%

1Y

12.67%

5Y (annualized)

5.91%

10Y (annualized)

5.99%

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RGI vs. IEFA - Expense Ratio Comparison

RGI has a 0.40% expense ratio, which is higher than IEFA's 0.07% expense ratio.


RGI
Invesco S&P 500® Equal Weight Industrials ETF
Expense ratio chart for RGI: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for IEFA: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

RGI vs. IEFA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Equal Weight Industrials ETF (RGI) and iShares Core MSCI EAFE ETF (IEFA). 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 RGI, currently valued at 2.40, compared to the broader market0.002.004.002.401.01
The chart of Sortino ratio for RGI, currently valued at 3.40, compared to the broader market-2.000.002.004.006.008.0010.0012.003.401.46
The chart of Omega ratio for RGI, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.18
The chart of Calmar ratio for RGI, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.691.49
The chart of Martin ratio for RGI, currently valued at 13.94, compared to the broader market0.0020.0040.0060.0080.00100.0013.944.09
RGI
IEFA

The current RGI Sharpe Ratio is 2.42, which is higher than the IEFA Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of RGI and IEFA, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.40
1.01
RGI
IEFA

Dividends

RGI vs. IEFA - Dividend Comparison

RGI's dividend yield for the trailing twelve months is around 0.87%, less than IEFA's 3.06% yield.


TTM20232022202120202019201820172016201520142013
RGI
Invesco S&P 500® Equal Weight Industrials ETF
0.87%1.06%1.09%0.70%0.96%1.33%0.30%0.00%0.00%0.00%1.28%0.90%
IEFA
iShares Core MSCI EAFE ETF
3.06%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%

Drawdowns

RGI vs. IEFA - Drawdown Comparison

The maximum RGI drawdown since its inception was -82.66%, which is greater than IEFA's maximum drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for RGI and IEFA. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-31.59%
-5.36%
RGI
IEFA

Volatility

RGI vs. IEFA - Volatility Comparison

Invesco S&P 500® Equal Weight Industrials ETF (RGI) has a higher volatility of 3.61% compared to iShares Core MSCI EAFE ETF (IEFA) at 3.22%. This indicates that RGI's price experiences larger fluctuations and is considered to be riskier than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.61%
3.22%
RGI
IEFA
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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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