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

Key characteristics


RWJRWK
YTD Return5.95%7.45%
1Y Return16.05%16.77%
3Y Return (Ann)4.69%8.50%
5Y Return (Ann)17.96%15.57%
10Y Return (Ann)10.13%10.09%
Sharpe Ratio0.550.81
Daily Std Dev22.55%17.62%
Max Drawdown-55.97%-56.49%
Current Drawdown-4.13%-3.72%

Correlation

-0.50.00.51.00.9

The correlation between RWJ and RWK is 0.91, 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. RWK - Performance Comparison

In the year-to-date period, RWJ achieves a 5.95% return, which is significantly lower than RWK's 7.45% return. Both investments have delivered pretty close results over the past 10 years, with RWJ having a 10.13% annualized return and RWK not far behind at 10.09%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.24%
3.43%
RWJ
RWK

Compare stocks, funds, or ETFs

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


Invesco S&P SmallCap 600 Revenue ETF

Invesco S&P MidCap 400 Revenue ETF

RWJ vs. RWK - Expense Ratio Comparison

Both RWJ and RWK have an expense ratio of 0.39%.


RWJ
Invesco S&P SmallCap 600 Revenue ETF
Expense ratio chart for RWJ: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for RWK: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Risk-Adjusted Performance

RWJ vs. RWK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Invesco S&P MidCap 400 Revenue ETF (RWK). 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 chart of Sharpe ratio for RWJ, currently valued at 0.55, compared to the broader market0.002.004.000.55
Sortino ratio
The chart of Sortino ratio for RWJ, currently valued at 0.96, compared to the broader market-2.000.002.004.006.008.0010.0012.000.96
Omega ratio
The chart of Omega ratio for RWJ, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for RWJ, currently valued at 0.60, compared to the broader market0.005.0010.0015.000.60
Martin ratio
The chart of Martin ratio for RWJ, currently valued at 2.58, compared to the broader market0.0020.0040.0060.0080.00100.002.58
RWK
Sharpe ratio
The chart of Sharpe ratio for RWK, currently valued at 0.81, compared to the broader market0.002.004.000.81
Sortino ratio
The chart of Sortino ratio for RWK, currently valued at 1.24, compared to the broader market-2.000.002.004.006.008.0010.0012.001.24
Omega ratio
The chart of Omega ratio for RWK, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.15
Calmar ratio
The chart of Calmar ratio for RWK, currently valued at 1.09, compared to the broader market0.005.0010.0015.001.09
Martin ratio
The chart of Martin ratio for RWK, currently valued at 3.86, compared to the broader market0.0020.0040.0060.0080.00100.003.86

RWJ vs. RWK - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 0.55, which is lower than the RWK Sharpe Ratio of 0.81. The chart below compares the 12-month rolling Sharpe Ratio of RWJ and RWK.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00AprilMayJuneJulyAugustSeptember
0.55
0.81
RWJ
RWK

Dividends

RWJ vs. RWK - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 1.26%, more than RWK's 1.06% yield.


TTM20232022202120202019201820172016201520142013
RWJ
Invesco S&P SmallCap 600 Revenue ETF
1.26%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.61%0.74%0.57%1.27%
RWK
Invesco S&P MidCap 400 Revenue ETF
1.06%1.05%1.18%0.85%0.96%1.09%1.22%0.74%1.30%0.92%1.04%1.29%

Drawdowns

RWJ vs. RWK - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, roughly equal to the maximum RWK drawdown of -56.49%. Use the drawdown chart below to compare losses from any high point for RWJ and RWK. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-4.13%
-3.72%
RWJ
RWK

Volatility

RWJ vs. RWK - Volatility Comparison

Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 6.99% compared to Invesco S&P MidCap 400 Revenue ETF (RWK) at 5.63%. This indicates that RWJ's price experiences larger fluctuations and is considered to be riskier than RWK 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%AprilMayJuneJulyAugustSeptember
6.99%
5.63%
RWJ
RWK