RWJ vs. XLY

Last updated Jun 13, 2026

RWJ (Invesco S&P SmallCap 600 Revenue ETF) and XLY (Consumer Discretionary Select Sector SPDR Fund) are both exchange-traded funds - RWJ is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Revenue-Weighted Index, while XLY is a Consumer Discretionary Equities fund tracking the Consumer Discretionary Select Sector Index. Both are passively managed. Over the past 10 years, RWJ returned 13.64%/yr vs 12.78%/yr for XLY. A 0.72 correlation means they provide meaningful diversification when combined. RWJ charges 0.39%/yr vs 0.13%/yr for XLY.

Performance

RWJ vs. XLY - Performance Comparison

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

Returns By Period

In the year-to-date period, RWJ achieves a 21.05% return, which is significantly higher than XLY's -2.16% return. Over the past 10 years, RWJ has outperformed XLY with an annualized return of 13.64%, while XLY has yielded a comparatively lower 12.78% 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%

XLY

• 1D: 0.26%
• 1M: -1.74%
• YTD: -2.16%
• 6M: -3.01%
• 1Y: 11.01%
• 3Y*: 12.99%
• 5Y*: 7.00%
• 10Y*: 12.78%

*Multi-year figures are annualized to reflect compound growth (CAGR)

RWJ vs. XLY - 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%
XLY Consumer Discretionary Select Sector SPDR Fund	-2.16%	7.37%	26.51%	39.64%	-36.27%	27.93%	29.63%	28.39%	1.58%	22.82%

Correlation

The correlation between RWJ and XLY is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.68
Correlation (3Y) Calculated over the trailing 3-year period	0.65
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Feb 22, 2008	0.72

The correlation between RWJ and XLY has been stable across timeframes, ranging from 0.65 to 0.72 - a consistent structural relationship.

RWJ vs. XLY - Sectors Allocation Comparison

Sectors	RWJ	XLY
Consumer Cyclical	23.9%	97.6%
Industrials	16.2%	0.1%
Healthcare	11.2%	-
Financial Services	11.0%	-
Technology	9.9%	0.9%
Energy	7.4%	-
Consumer Defensive	6.9%	-
Basic Materials	5.2%	-
Real Estate	4.0%	-
Communication Services	3.3%	1.3%
Utilities	0.9%	-

Return for Risk

RWJ vs. XLY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

RWJ

RWJ Risk / Return Rank: 74
RWJ Sharpe Ratio Rank: 74
RWJ Sortino Ratio Rank: 77
RWJ Omega Ratio Rank: 69
RWJ Calmar Ratio Rank: 78
RWJ Martin Ratio Rank: 71

XLY

XLY Risk / Return Rank: 19
XLY Sharpe Ratio Rank: 19
XLY Sortino Ratio Rank: 19
XLY Omega Ratio Rank: 18
XLY Calmar Ratio Rank: 19
XLY Martin Ratio Rank: 20

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

RWJ vs. XLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 Revenue ETF (RWJ) and Consumer Discretionary Select Sector SPDR Fund (XLY). 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	XLY	Difference
Sharpe ratio: Return per unit of total volatility	2.07	0.55	+1.52
Sortino ratio: Return per unit of downside risk	2.95	0.89	+2.06
Omega ratio: Gain probability vs. loss probability	1.35	1.10	+0.25
Calmar ratio: Return relative to maximum drawdown	3.56	0.67	+2.89
Martin ratio: Return relative to average drawdown	11.43	2.05	+9.37

RWJ vs. XLY - Sharpe Ratio Comparison

The current RWJ Sharpe Ratio is 2.07, which is higher than the XLY Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of RWJ and XLY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

RWJ vs. XLY - Drawdown Comparison

The maximum RWJ drawdown since its inception was -55.97%, smaller than the maximum XLY drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for RWJ and XLY.

Drawdown Indicators

	RWJ	XLY	Difference
Max Drawdown Largest peak-to-trough decline	-55.97%	-59.05%	+3.08%
Max Drawdown (1Y) Largest decline over 1 year	-11.31%	-14.98%	+3.67%
Max Drawdown (3Y) Largest decline over 3 years	-29.29%	-26.01%	-3.28%
Max Drawdown (5Y) Largest decline over 5 years	-29.29%	-39.67%	+10.38%
Max Drawdown (10Y) Largest decline over 10 years	-51.33%	-39.67%	-11.66%
Current Drawdown Current decline from peak	0.00%	-6.17%	+6.17%
Average Drawdown Average peak-to-trough decline	-9.22%	-9.55%	+0.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.52%	4.88%	-1.36%

Volatility

RWJ vs. XLY - Volatility Comparison

The current volatility for Invesco S&P SmallCap 600 Revenue ETF (RWJ) is 4.67%, while Consumer Discretionary Select Sector SPDR Fund (XLY) has a volatility of 6.19%. This indicates that RWJ experiences smaller price fluctuations and is considered to be less risky than XLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RWJ	XLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.67%	6.19%	-1.52%
Volatility (6M) Calculated over the trailing 6-month period	12.46%	13.44%	-0.98%
Volatility (1Y) Calculated over the trailing 1-year period	19.48%	18.27%	+1.21%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.71%	23.83%	-0.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.14%	22.08%	+4.06%

RWJ vs. XLY - Expense Ratio Comparison

RWJ has a 0.39% expense ratio, which is higher than XLY's 0.13% expense ratio.

Dividends

RWJ vs. XLY - Dividend Comparison

RWJ's dividend yield for the trailing twelve months is around 0.97%, more than XLY's 0.77% 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%
XLY Consumer Discretionary Select Sector SPDR Fund	0.77%	0.79%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%

Frequently Asked Questions

Can I hold both RWJ and XLY in my portfolio?

RWJ and XLY have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RWJ or XLY?

XLY has higher volatility (6.19%) compared to RWJ (4.67%). In terms of maximum drawdown, RWJ dropped -55.97% vs XLY's -59.05%.

Which ETF is better, RWJ or XLY?

On 10-year performance, RWJ leads with 13.64% vs 12.78% for XLY. On fees, XLY is cheaper at 0.13% per year. On volatility, RWJ has been the lower-risk option at 4.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, RWJ or XLY?

Over the 10-year period, RWJ has performed better with a 13.64% return vs 12.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, RWJ or XLY?

XLY is cheaper with a 0.13% expense ratio, compared with 0.39% for RWJ.

Which ETF pays a higher dividend yield, RWJ or XLY?

RWJ has the higher dividend yield at 0.97%, compared with 0.77% for XLY.

What is the main difference between RWJ and XLY?

RWJ is categorized as Small Cap Value Equities, while XLY is Consumer Discretionary Equities. RWJ tracks S&P SmallCap 600 Revenue-Weighted Index, while XLY tracks Consumer Discretionary Select Sector Index. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.39% for RWJ and 0.13% for XLY.

Which has better risk-adjusted returns?

RWJ currently has the higher Sharpe Ratio (2.07 vs 0.55), 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.