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

Correlation

The correlation between RWJ and SPY is 0.75, 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.


-0.50.00.51.00.8

Performance

RWJ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600 Revenue ETF (RWJ) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

450.00%500.00%550.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
551.40%
499.66%
RWJ
SPY

Key characteristics

Sharpe Ratio

RWJ:

0.63

SPY:

2.21

Sortino Ratio

RWJ:

1.05

SPY:

2.93

Omega Ratio

RWJ:

1.12

SPY:

1.41

Calmar Ratio

RWJ:

1.33

SPY:

3.26

Martin Ratio

RWJ:

3.28

SPY:

14.43

Ulcer Index

RWJ:

4.12%

SPY:

1.90%

Daily Std Dev

RWJ:

21.39%

SPY:

12.41%

Max Drawdown

RWJ:

-55.97%

SPY:

-55.19%

Current Drawdown

RWJ:

-7.64%

SPY:

-2.74%

Returns By Period

In the year-to-date period, RWJ achieves a 11.35% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, RWJ has underperformed SPY with an annualized return of 10.38%, while SPY has yielded a comparatively higher 12.97% annualized return.


RWJ

YTD

11.35%

1M

-2.10%

6M

14.31%

1Y

11.73%

5Y*

16.37%

10Y*

10.38%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


RWJ vs. SPY - Expense Ratio Comparison

RWJ has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.


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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

RWJ vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for RWJ, currently valued at 0.63, compared to the broader market0.002.004.000.632.21
The chart of Sortino ratio for RWJ, currently valued at 1.05, compared to the broader market-2.000.002.004.006.008.0010.001.052.93
The chart of Omega ratio for RWJ, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.41
The chart of Calmar ratio for RWJ, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.333.26
The chart of Martin ratio for RWJ, currently valued at 3.28, compared to the broader market0.0020.0040.0060.0080.00100.003.2814.43
RWJ
SPY

The current RWJ Sharpe Ratio is 0.63, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of RWJ and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.63
2.21
RWJ
SPY

Dividends

RWJ vs. SPY - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 0.91%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.91%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.60%0.74%0.57%1.27%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

RWJ vs. SPY - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RWJ and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.64%
-2.74%
RWJ
SPY

Volatility

RWJ vs. SPY - Volatility Comparison

Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 6.21% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that RWJ's price experiences larger fluctuations and is considered to be riskier than SPY 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%JulyAugustSeptemberOctoberNovemberDecember
6.21%
3.72%
RWJ
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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