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

Key characteristics


RWJVUG
YTD Return-3.00%9.94%
1Y Return9.18%37.62%
3Y Return (Ann)2.99%8.13%
5Y Return (Ann)13.85%17.02%
10Y Return (Ann)9.80%15.26%
Sharpe Ratio0.462.63
Daily Std Dev21.54%15.36%
Max Drawdown-55.97%-50.68%
Current Drawdown-6.42%-1.43%

Correlation

0.69
-1.001.00

The correlation between RWJ and VUG is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

RWJ vs. VUG - Performance Comparison

In the year-to-date period, RWJ achieves a -3.00% return, which is significantly lower than VUG's 9.94% return. Over the past 10 years, RWJ has underperformed VUG with an annualized return of 9.80%, while VUG has yielded a comparatively higher 15.26% 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
15.39%
23.10%
RWJ
VUG

Compare stocks, funds, or ETFs


Invesco S&P SmallCap 600 Revenue ETF

Vanguard Growth ETF

RWJ vs. VUG - Expense Ratio Comparison

RWJ has a 0.39% expense ratio, which is higher than VUG's 0.04% 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%0.04%

Risk-Adjusted Performance

RWJ vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Vanguard Growth ETF (VUG). 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 Sharpe ratio of RWJ compared to the broader market0.002.004.000.46
Sortino ratio
The Sortino ratio of RWJ compared to the broader market-2.000.002.004.006.008.0010.000.86
Omega ratio
The Omega ratio of RWJ compared to the broader market1.001.502.002.501.09
Calmar ratio
The Calmar ratio of RWJ compared to the broader market0.002.004.006.008.0010.0012.000.48
Martin ratio
The Martin ratio of RWJ compared to the broader market0.0020.0040.0060.0080.001.60
VUG
Sharpe ratio
The Sharpe ratio of VUG compared to the broader market0.002.004.002.63
Sortino ratio
The Sortino ratio of VUG compared to the broader market-2.000.002.004.006.008.0010.003.62
Omega ratio
The Omega ratio of VUG compared to the broader market1.001.502.002.501.46
Calmar ratio
The Calmar ratio of VUG compared to the broader market0.002.004.006.008.0010.0012.001.64
Martin ratio
The Martin ratio of VUG compared to the broader market0.0020.0040.0060.0080.0013.48

RWJ vs. VUG - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 0.46, which is lower than the VUG Sharpe Ratio of 2.63. The chart below compares the 12-month rolling Sharpe Ratio of RWJ and VUG.


Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2024FebruaryMarchApril
0.46
2.63
RWJ
VUG

Dividends

RWJ vs. VUG - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 1.31%, more than VUG's 0.54% yield.


TTM20232022202120202019201820172016201520142013
RWJ
Invesco S&P SmallCap 600 Revenue ETF
1.31%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.61%0.74%0.57%1.27%
VUG
Vanguard Growth ETF
0.54%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

RWJ vs. VUG - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, which is greater than VUG's maximum drawdown of -50.68%. The drawdown chart below compares losses from any high point along the way for RWJ and VUG


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-6.42%
-1.43%
RWJ
VUG

Volatility

RWJ vs. VUG - Volatility Comparison

Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a higher volatility of 6.35% compared to Vanguard Growth ETF (VUG) at 3.72%. This indicates that RWJ's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
6.35%
3.72%
RWJ
VUG