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RWJ vs. CALF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RWJCALF
YTD Return-3.00%-2.96%
1Y Return9.18%23.64%
3Y Return (Ann)2.99%5.79%
5Y Return (Ann)13.85%14.35%
Sharpe Ratio0.461.25
Daily Std Dev21.54%19.86%
Max Drawdown-55.97%-47.58%
Current Drawdown-6.42%-5.35%

Correlation

0.92
-1.001.00

The correlation between RWJ and CALF is 0.92, 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.

Performance

RWJ vs. CALF - Performance Comparison

The year-to-date returns for both investments are quite close, with RWJ having a -3.00% return and CALF slightly higher at -2.96%. 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%20.00%NovemberDecember2024FebruaryMarchApril
15.39%
15.35%
RWJ
CALF

Compare stocks, funds, or ETFs


Invesco S&P SmallCap 600 Revenue ETF

Pacer US Small Cap Cash Cows 100 ETF

RWJ vs. CALF - Expense Ratio Comparison

RWJ has a 0.39% expense ratio, which is lower than CALF's 0.59% expense ratio.

CALF
Pacer US Small Cap Cash Cows 100 ETF
0.50%1.00%1.50%2.00%0.59%
0.50%1.00%1.50%2.00%0.39%

Risk-Adjusted Performance

RWJ vs. CALF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Pacer US Small Cap Cash Cows 100 ETF (CALF). 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.


RWJ
Sharpe ratio
The Sharpe ratio of RWJ compared to the broader market0.002.004.000.46
Sortino ratio
The Sortino ratio of RWJ compared to the broader market-2.000.002.004.006.008.0010.000.86
Omega ratio
The Omega ratio of RWJ compared to the broader market1.001.502.002.501.09
Calmar ratio
The Calmar ratio of RWJ compared to the broader market0.002.004.006.008.0010.0012.000.48
Martin ratio
The Martin ratio of RWJ compared to the broader market0.0020.0040.0060.0080.001.60
CALF
Sharpe ratio
The Sharpe ratio of CALF compared to the broader market0.002.004.001.25
Sortino ratio
The Sortino ratio of CALF compared to the broader market-2.000.002.004.006.008.0010.001.95
Omega ratio
The Omega ratio of CALF compared to the broader market1.001.502.002.501.22
Calmar ratio
The Calmar ratio of CALF compared to the broader market0.002.004.006.008.0010.0012.001.17
Martin ratio
The Martin ratio of CALF compared to the broader market0.0020.0040.0060.0080.006.69

RWJ vs. CALF - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 0.46, which is lower than the CALF Sharpe Ratio of 1.25. The chart below compares the 12-month rolling Sharpe Ratio of RWJ and CALF.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00NovemberDecember2024FebruaryMarchApril
0.46
1.25
RWJ
CALF

Dividends

RWJ vs. CALF - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 1.31%, more than CALF's 1.12% yield.


TTM20232022202120202019201820172016201520142013
RWJ
Invesco S&P SmallCap 600 Revenue ETF
1.31%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.61%0.74%0.57%1.27%
CALF
Pacer US Small Cap Cash Cows 100 ETF
1.12%1.18%0.85%2.63%0.82%0.99%1.39%0.70%0.00%0.00%0.00%0.00%

Drawdowns

RWJ vs. CALF - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, which is greater than CALF's maximum drawdown of -47.58%. The drawdown chart below compares losses from any high point along the way for RWJ and CALF


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-6.42%
-5.35%
RWJ
CALF

Volatility

RWJ vs. CALF - Volatility Comparison

Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 6.35% compared to Pacer US Small Cap Cash Cows 100 ETF (CALF) at 5.69%. This indicates that RWJ's price experiences larger fluctuations and is considered to be riskier than CALF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
6.35%
5.69%
RWJ
CALF