RWJ vs. VOX
RWJ (Invesco S&P SmallCap 600 Revenue ETF) and VOX (Vanguard Communication Services ETF) are both exchange-traded funds - RWJ is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Revenue-Weighted Index, while VOX is a Communications Equities fund tracking the MSCI US Investable Market Communication Services 25/50 Index. Both are passively managed. Over the past 10 years, RWJ returned 13.64%/yr vs 8.94%/yr for VOX. A 0.64 correlation means they provide meaningful diversification when combined. RWJ charges 0.39%/yr vs 0.09%/yr for VOX.
Performance
RWJ vs. VOX - Performance Comparison
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Returns By Period
In the year-to-date period, RWJ achieves a 21.05% return, which is significantly higher than VOX's -3.01% return. Over the past 10 years, RWJ has outperformed VOX with an annualized return of 13.64%, while VOX has yielded a comparatively lower 8.94% 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%
VOX
- 1D
- 0.03%
- 1M
- -5.20%
- YTD
- -3.01%
- 6M
- -1.76%
- 1Y
- 16.53%
- 3Y*
- 22.49%
- 5Y*
- 6.96%
- 10Y*
- 8.94%
RWJ vs. VOX - 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% |
VOX Vanguard Communication Services ETF | -3.01% | 26.27% | 33.12% | 44.81% | -38.85% | 13.83% | 29.12% | 28.03% | -16.75% | -5.50% |
Correlation
The correlation between RWJ and VOX is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.47 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.54 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.60 |
Correlation (All Time) Calculated using the full available price history since Feb 22, 2008 | 0.64 |
The correlation between RWJ and VOX shifts across timeframes, from 0.47 (1 year) to 0.64 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
RWJ vs. VOX — Risk / Return Rank
RWJ
VOX
RWJ vs. VOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Vanguard Communication Services ETF (VOX). 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 | VOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.07 | ||
| Sortino ratioReturn per unit of downside risk | +1.42 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.18 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 3.56 | 1.14 | +2.42 |
| Martin ratioReturn relative to average drawdown | 11.43 | 4.20 | +7.22 |
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Drawdowns
RWJ vs. VOX - Drawdown Comparison
The maximum RWJ drawdown since its inception was -55.97%, roughly equal to the maximum VOX drawdown of -57.18%. Use the drawdown chart below to compare losses from any high point for RWJ and VOX.
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Drawdown Indicators
| RWJ | VOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.97% | -57.18% | +1.21% |
Max Drawdown (1Y)Largest decline over 1 year | -11.31% | -13.56% | +2.25% |
Max Drawdown (3Y)Largest decline over 3 years | -29.29% | -21.15% | -8.14% |
Max Drawdown (5Y)Largest decline over 5 years | -29.29% | -46.76% | +17.47% |
Max Drawdown (10Y)Largest decline over 10 years | -51.33% | -46.76% | -4.57% |
Current DrawdownCurrent decline from peak | 0.00% | -6.27% | +6.27% |
Average DrawdownAverage peak-to-trough decline | -9.22% | -11.90% | +2.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.52% | 3.67% | -0.15% |
Volatility
RWJ vs. VOX - Volatility Comparison
Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 4.67% compared to Vanguard Communication Services ETF (VOX) at 4.01%. This indicates that RWJ's price experiences larger fluctuations and is considered to be riskier than VOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RWJ | VOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 4.01% | +0.66% |
Volatility (6M)Calculated over the trailing 6-month period | 12.46% | 11.29% | +1.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.48% | 15.48% | +4.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.71% | 21.17% | +2.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.14% | 20.90% | +5.24% |
RWJ vs. VOX - Expense Ratio Comparison
RWJ has a 0.39% expense ratio, which is higher than VOX's 0.09% expense ratio.
Dividends
RWJ vs. VOX - Dividend Comparison
RWJ's dividend yield for the trailing twelve months is around 0.97%, less than VOX's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VOX Vanguard Communication Services ETF | 1.01% | 0.95% | 1.05% | 1.03% | 0.88% | 0.93% | 0.73% | 0.90% | 2.77% | 3.83% | 2.67% | 3.55% |
Frequently Asked Questions
RWJ and VOX have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
RWJ has higher volatility (4.67%) compared to VOX (4.01%). In terms of maximum drawdown, RWJ dropped -55.97% vs VOX's -57.18%.
On 10-year performance, RWJ leads with 13.64% vs 8.94% for VOX. On fees, VOX is cheaper at 0.09% per year. On volatility, VOX has been the lower-risk option at 4.01%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, RWJ has performed better with a 13.64% return vs 8.94%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VOX is cheaper with a 0.09% expense ratio, compared with 0.39% for RWJ.
VOX has the higher dividend yield at 1.01%, compared with 0.97% for RWJ.
RWJ is categorized as Small Cap Value Equities, while VOX is Communications Equities. RWJ tracks S&P SmallCap 600 Revenue-Weighted Index, while VOX tracks MSCI US Investable Market Communication Services 25/50 Index. They also come from different issuers: Invesco and Vanguard. Their fees differ too: 0.39% for RWJ and 0.09% for VOX.
RWJ currently has the higher Sharpe Ratio (2.07 vs 1.00), 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.
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