PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RSPE vs. ^SPXEW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between RSPE and ^SPXEW is 0.98, 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.


-0.50.00.51.01.0

Performance

RSPE vs. ^SPXEW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco ESG S&P 500 Equal Weight ETF (RSPE) and S&P 500 Equal Weighted Index (^SPXEW). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%SeptemberOctoberNovemberDecember2025February
5.49%
4.87%
RSPE
^SPXEW

Key characteristics

Sharpe Ratio

RSPE:

1.31

^SPXEW:

1.22

Sortino Ratio

RSPE:

1.85

^SPXEW:

1.74

Omega Ratio

RSPE:

1.23

^SPXEW:

1.22

Calmar Ratio

RSPE:

2.03

^SPXEW:

1.85

Martin Ratio

RSPE:

5.40

^SPXEW:

4.83

Ulcer Index

RSPE:

2.83%

^SPXEW:

2.87%

Daily Std Dev

RSPE:

11.68%

^SPXEW:

11.38%

Max Drawdown

RSPE:

-22.94%

^SPXEW:

-60.83%

Current Drawdown

RSPE:

-2.10%

^SPXEW:

-3.43%

Returns By Period

In the year-to-date period, RSPE achieves a 4.50% return, which is significantly higher than ^SPXEW's 3.22% return.


RSPE

YTD

4.50%

1M

2.02%

6M

6.35%

1Y

14.65%

5Y*

N/A

10Y*

N/A

^SPXEW

YTD

3.22%

1M

0.47%

6M

5.61%

1Y

13.06%

5Y*

8.89%

10Y*

8.18%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

RSPE vs. ^SPXEW — Risk-Adjusted Performance Rank

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

RSPE
The Risk-Adjusted Performance Rank of RSPE is 5252
Overall Rank
The Sharpe Ratio Rank of RSPE is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of RSPE is 5050
Sortino Ratio Rank
The Omega Ratio Rank of RSPE is 4848
Omega Ratio Rank
The Calmar Ratio Rank of RSPE is 6363
Calmar Ratio Rank
The Martin Ratio Rank of RSPE is 5050
Martin Ratio Rank

^SPXEW
The Risk-Adjusted Performance Rank of ^SPXEW is 5555
Overall Rank
The Sharpe Ratio Rank of ^SPXEW is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SPXEW is 5353
Sortino Ratio Rank
The Omega Ratio Rank of ^SPXEW is 5151
Omega Ratio Rank
The Calmar Ratio Rank of ^SPXEW is 6767
Calmar Ratio Rank
The Martin Ratio Rank of ^SPXEW is 5353
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

RSPE vs. ^SPXEW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco ESG S&P 500 Equal Weight ETF (RSPE) and S&P 500 Equal Weighted Index (^SPXEW). 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 RSPE, currently valued at 1.21, compared to the broader market0.002.004.001.211.11
The chart of Sortino ratio for RSPE, currently valued at 1.73, compared to the broader market0.005.0010.001.731.59
The chart of Omega ratio for RSPE, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.211.20
The chart of Calmar ratio for RSPE, currently valued at 1.87, compared to the broader market0.005.0010.0015.0020.001.871.67
The chart of Martin ratio for RSPE, currently valued at 4.96, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.964.37
RSPE
^SPXEW

The current RSPE Sharpe Ratio is 1.31, which is comparable to the ^SPXEW Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of RSPE and ^SPXEW, 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 Ratio1.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
1.21
1.11
RSPE
^SPXEW

Drawdowns

RSPE vs. ^SPXEW - Drawdown Comparison

The maximum RSPE drawdown since its inception was -22.94%, smaller than the maximum ^SPXEW drawdown of -60.83%. Use the drawdown chart below to compare losses from any high point for RSPE and ^SPXEW. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-2.10%
-3.43%
RSPE
^SPXEW

Volatility

RSPE vs. ^SPXEW - Volatility Comparison

Invesco ESG S&P 500 Equal Weight ETF (RSPE) has a higher volatility of 2.78% compared to S&P 500 Equal Weighted Index (^SPXEW) at 2.50%. This indicates that RSPE's price experiences larger fluctuations and is considered to be riskier than ^SPXEW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2025February
2.78%
2.50%
RSPE
^SPXEW
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab