PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RVT vs. CVGRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RVTCVGRX
YTD Return22.01%32.48%
1Y Return46.10%35.56%
3Y Return (Ann)3.30%0.21%
5Y Return (Ann)11.97%7.51%
10Y Return (Ann)10.07%-0.74%
Sharpe Ratio2.292.14
Sortino Ratio3.142.79
Omega Ratio1.401.40
Calmar Ratio1.740.71
Martin Ratio13.1011.03
Ulcer Index3.55%3.23%
Daily Std Dev20.34%16.67%
Max Drawdown-72.31%-69.30%
Current Drawdown-0.65%-32.69%

Correlation

-0.50.00.51.00.7

The correlation between RVT and CVGRX is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

RVT vs. CVGRX - Performance Comparison

In the year-to-date period, RVT achieves a 22.01% return, which is significantly lower than CVGRX's 32.48% return. Over the past 10 years, RVT has outperformed CVGRX with an annualized return of 10.07%, while CVGRX has yielded a comparatively lower -0.74% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.42%
16.93%
RVT
CVGRX

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

RVT vs. CVGRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Value Trust Inc. (RVT) and Calamos Growth Fund (CVGRX). 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.


RVT
Sharpe ratio
The chart of Sharpe ratio for RVT, currently valued at 2.29, compared to the broader market-4.00-2.000.002.004.002.29
Sortino ratio
The chart of Sortino ratio for RVT, currently valued at 3.14, compared to the broader market-4.00-2.000.002.004.006.003.14
Omega ratio
The chart of Omega ratio for RVT, currently valued at 1.40, compared to the broader market0.501.001.502.001.40
Calmar ratio
The chart of Calmar ratio for RVT, currently valued at 1.74, compared to the broader market0.002.004.006.001.74
Martin ratio
The chart of Martin ratio for RVT, currently valued at 13.10, compared to the broader market0.0010.0020.0030.0013.10
CVGRX
Sharpe ratio
The chart of Sharpe ratio for CVGRX, currently valued at 2.14, compared to the broader market-4.00-2.000.002.004.002.14
Sortino ratio
The chart of Sortino ratio for CVGRX, currently valued at 2.79, compared to the broader market-4.00-2.000.002.004.006.002.79
Omega ratio
The chart of Omega ratio for CVGRX, currently valued at 1.40, compared to the broader market0.501.001.502.001.40
Calmar ratio
The chart of Calmar ratio for CVGRX, currently valued at 0.70, compared to the broader market0.002.004.006.000.71
Martin ratio
The chart of Martin ratio for CVGRX, currently valued at 11.03, compared to the broader market0.0010.0020.0030.0011.03

RVT vs. CVGRX - Sharpe Ratio Comparison

The current RVT Sharpe Ratio is 2.29, which is comparable to the CVGRX Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of RVT and CVGRX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.29
2.14
RVT
CVGRX

Dividends

RVT vs. CVGRX - Dividend Comparison

RVT's dividend yield for the trailing twelve months is around 6.67%, while CVGRX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
RVT
Royce Value Trust Inc.
6.67%7.35%9.95%8.52%6.44%7.45%10.68%7.17%7.62%10.54%12.70%4.65%
CVGRX
Calamos Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

RVT vs. CVGRX - Drawdown Comparison

The maximum RVT drawdown since its inception was -72.31%, roughly equal to the maximum CVGRX drawdown of -69.30%. Use the drawdown chart below to compare losses from any high point for RVT and CVGRX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.65%
-32.69%
RVT
CVGRX

Volatility

RVT vs. CVGRX - Volatility Comparison

Royce Value Trust Inc. (RVT) has a higher volatility of 6.81% compared to Calamos Growth Fund (CVGRX) at 5.02%. This indicates that RVT's price experiences larger fluctuations and is considered to be riskier than CVGRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.81%
5.02%
RVT
CVGRX