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

Key characteristics


RWJRZV
YTD Return-4.57%-8.12%
1Y Return7.60%10.31%
3Y Return (Ann)1.83%4.49%
5Y Return (Ann)13.63%8.97%
10Y Return (Ann)9.52%5.89%
Sharpe Ratio0.390.46
Daily Std Dev21.54%23.76%
Max Drawdown-55.97%-77.11%
Current Drawdown-7.94%-9.30%

Correlation

-0.50.00.51.00.9

The correlation between RWJ and RZV 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. RZV - Performance Comparison

In the year-to-date period, RWJ achieves a -4.57% return, which is significantly higher than RZV's -8.12% return. Over the past 10 years, RWJ has outperformed RZV with an annualized return of 9.52%, while RZV has yielded a comparatively lower 5.89% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
11.50%
12.58%
RWJ
RZV

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 SmallCap 600® Pure Value ETF

RWJ vs. RZV - Expense Ratio Comparison

RWJ has a 0.39% expense ratio, which is higher than RZV's 0.35% expense ratio.

RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

RWJ vs. RZV - 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 SmallCap 600® Pure Value ETF (RZV). 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 0.39, compared to the broader market-1.000.001.002.003.004.005.000.39
Sortino ratio
The chart of Sortino ratio for RWJ, currently valued at 0.75, compared to the broader market-2.000.002.004.006.008.000.75
Omega ratio
The chart of Omega ratio for RWJ, currently valued at 1.08, compared to the broader market1.001.502.002.501.08
Calmar ratio
The chart of Calmar ratio for RWJ, currently valued at 0.40, compared to the broader market0.002.004.006.008.0010.0012.000.40
Martin ratio
The chart of Martin ratio for RWJ, currently valued at 1.33, compared to the broader market0.0020.0040.0060.0080.001.33
RZV
Sharpe ratio
The chart of Sharpe ratio for RZV, currently valued at 0.46, compared to the broader market-1.000.001.002.003.004.005.000.46
Sortino ratio
The chart of Sortino ratio for RZV, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.000.86
Omega ratio
The chart of Omega ratio for RZV, currently valued at 1.09, compared to the broader market1.001.502.002.501.09
Calmar ratio
The chart of Calmar ratio for RZV, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.0012.000.51
Martin ratio
The chart of Martin ratio for RZV, currently valued at 1.72, compared to the broader market0.0020.0040.0060.0080.001.72

RWJ vs. RZV - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 0.39, which roughly equals the RZV Sharpe Ratio of 0.46. The chart below compares the 12-month rolling Sharpe Ratio of RWJ and RZV.


Rolling 12-month Sharpe Ratio0.000.501.00NovemberDecember2024FebruaryMarchApril
0.39
0.46
RWJ
RZV

Dividends

RWJ vs. RZV - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 1.34%, more than RZV's 1.24% yield.


TTM20232022202120202019201820172016201520142013
RWJ
Invesco S&P SmallCap 600 Revenue ETF
1.34%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.61%0.74%0.57%1.27%
RZV
Invesco S&P SmallCap 600® Pure Value ETF
1.24%1.13%1.43%0.86%0.63%1.03%2.03%1.02%0.46%1.24%0.68%0.64%

Drawdowns

RWJ vs. RZV - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, smaller than the maximum RZV drawdown of -77.11%. Use the drawdown chart below to compare losses from any high point for RWJ and RZV. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.94%
-9.30%
RWJ
RZV

Volatility

RWJ vs. RZV - Volatility Comparison

The current volatility for Invesco S&P SmallCap 600 Revenue ETF (RWJ) is 6.20%, while Invesco S&P SmallCap 600® Pure Value ETF (RZV) has a volatility of 6.68%. This indicates that RWJ experiences smaller price fluctuations and is considered to be less risky than RZV 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
6.20%
6.68%
RWJ
RZV