RWJ vs. O

Last updated Jun 13, 2026

RWJ (Invesco S&P SmallCap 600 Revenue ETF) is Small Cap Value Equities fund tracking the S&P SmallCap 600 Revenue-Weighted Index, while O (Realty Income Corporation) is a stock. Over the past 10 years, RWJ returned 13.64%/yr vs 4.89%/yr for O. At a 0.38 correlation, their price movements are largely independent.

Performance

RWJ vs. O - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Realty Income Corporation (O). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, RWJ achieves a 21.05% return, which is significantly higher than O's 13.70% return. Over the past 10 years, RWJ has outperformed O with an annualized return of 13.64%, while O has yielded a comparatively lower 4.89% annualized return.

RWJ

• 1D: 1.08%
• 1M: 7.83%
• YTD: 21.05%
• 6M: 17.99%
• 1Y: 42.98%
• 3Y*: 17.13%
• 5Y*: 8.52%
• 10Y*: 13.64%

O

• 1D: 1.31%
• 1M: 1.67%
• YTD: 13.70%
• 6M: 11.57%
• 1Y: 14.88%
• 3Y*: 6.59%
• 5Y*: 3.49%
• 10Y*: 4.89%

*Multi-year figures are annualized to reflect compound growth (CAGR)

RWJ vs. O - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RWJ Invesco S&P SmallCap 600 Revenue ETF	21.05%	7.75%	11.81%	16.21%	-10.97%	52.82%	20.83%	20.29%	-16.95%	5.30%
O Realty Income Corporation	13.70%	12.20%	-2.11%	-4.55%	-7.38%	23.95%	-11.60%	21.27%	15.94%	3.67%

Correlation

The correlation between RWJ and O is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.37
Correlation (10Y) Calculated over the trailing 10-year period	0.31
Correlation (All Time) Calculated using the full available price history since Feb 22, 2008	0.38

Over the past year, the correlation between RWJ and O has dropped to 0.16 - well below their long-term average of 0.38, suggesting their price drivers have been diverging.

Return for Risk

RWJ vs. O — Risk / Return Rank

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

RWJ

RWJ Risk / Return Rank: 74
RWJ Sharpe Ratio Rank: 74
RWJ Sortino Ratio Rank: 77
RWJ Omega Ratio Rank: 69
RWJ Calmar Ratio Rank: 78
RWJ Martin Ratio Rank: 71

O

O Risk / Return Rank: 66
O Sharpe Ratio Rank: 71
O Sortino Ratio Rank: 62
O Omega Ratio Rank: 61
O Calmar Ratio Rank: 68
O Martin Ratio Rank: 69

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

RWJ vs. O - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Realty Income Corporation (O). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	RWJ	O	Difference
Sharpe ratio: Return per unit of total volatility	2.07	0.88	+1.18
Sortino ratio: Return per unit of downside risk	2.95	1.26	+1.70
Omega ratio: Gain probability vs. loss probability	1.35	1.15	+0.20
Calmar ratio: Return relative to maximum drawdown	3.56	1.29	+2.27
Martin ratio: Return relative to average drawdown	11.43	3.12	+8.31

RWJ vs. O - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 2.07, which is higher than the O Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of RWJ and O, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

RWJ vs. O - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, which is greater than O's maximum drawdown of -48.45%. Use the drawdown chart below to compare losses from any high point for RWJ and O.

Drawdown Indicators

	RWJ	O	Difference
Max Drawdown Largest peak-to-trough decline	-55.97%	-48.45%	-7.52%
Max Drawdown (1Y) Largest decline over 1 year	-11.31%	-11.10%	-0.21%
Max Drawdown (3Y) Largest decline over 3 years	-29.29%	-26.49%	-2.80%
Max Drawdown (5Y) Largest decline over 5 years	-29.29%	-34.48%	+5.19%
Max Drawdown (10Y) Largest decline over 10 years	-51.33%	-48.28%	-3.05%
Current Drawdown Current decline from peak	0.00%	-5.94%	+5.94%
Average Drawdown Average peak-to-trough decline	-9.22%	-9.20%	-0.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.52%	4.58%	-1.06%

Volatility

RWJ vs. O - Volatility Comparison

The current volatility for Invesco S&P SmallCap 600 Revenue ETF (RWJ) is 4.67%, while Realty Income Corporation (O) has a volatility of 5.29%. This indicates that RWJ experiences smaller price fluctuations and is considered to be less risky than O based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RWJ	O	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.67%	5.29%	-0.62%
Volatility (6M) Calculated over the trailing 6-month period	12.46%	11.98%	+0.48%
Volatility (1Y) Calculated over the trailing 1-year period	19.48%	16.21%	+3.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.71%	18.92%	+4.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.14%	25.64%	+0.50%

Dividends

RWJ vs. O - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 0.97%, less than O's 5.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
O Realty Income Corporation	5.16%	6.19%	5.37%	5.33%	4.68%	3.87%	4.51%	3.69%	4.19%	4.45%	4.18%	4.41%
RWJ Invesco S&P SmallCap 600 Revenue ETF	0.97%	1.11%	1.15%	1.34%	1.02%	0.61%	0.89%	1.22%	1.44%	1.11%	0.60%	0.74%

Frequently Asked Questions

Can I hold both RWJ and O in my portfolio?

RWJ and O have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RWJ or O?

O has higher volatility (5.29%) compared to RWJ (4.67%). In terms of maximum drawdown, RWJ dropped -55.97% vs O's -48.45%.

Which has better risk-adjusted returns?

RWJ currently has the higher Sharpe Ratio (2.07 vs 0.88), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.