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RWK vs. PRFZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RWK and PRFZ is 0.91, 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.


-0.50.00.51.00.9

Performance

RWK vs. PRFZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap 400 Revenue ETF (RWK) and Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ). The values are adjusted to include any dividend payments, if applicable.

400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
469.77%
419.54%
RWK
PRFZ

Key characteristics

Sharpe Ratio

RWK:

0.80

PRFZ:

0.79

Sortino Ratio

RWK:

1.22

PRFZ:

1.23

Omega Ratio

RWK:

1.15

PRFZ:

1.15

Calmar Ratio

RWK:

1.55

PRFZ:

1.66

Martin Ratio

RWK:

4.17

PRFZ:

4.36

Ulcer Index

RWK:

3.20%

PRFZ:

3.59%

Daily Std Dev

RWK:

16.78%

PRFZ:

19.73%

Max Drawdown

RWK:

-56.49%

PRFZ:

-62.42%

Current Drawdown

RWK:

-8.03%

PRFZ:

-7.31%

Returns By Period

In the year-to-date period, RWK achieves a 11.72% return, which is significantly lower than PRFZ's 13.30% return. Over the past 10 years, RWK has outperformed PRFZ with an annualized return of 10.34%, while PRFZ has yielded a comparatively lower 8.97% annualized return.


RWK

YTD

11.72%

1M

-3.07%

6M

5.77%

1Y

12.08%

5Y*

13.55%

10Y*

10.34%

PRFZ

YTD

13.30%

1M

-2.77%

6M

12.41%

1Y

13.63%

5Y*

10.33%

10Y*

8.97%

Compare stocks, funds, or ETFs

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


RWK vs. PRFZ - Expense Ratio Comparison

Both RWK and PRFZ have an expense ratio of 0.39%.


RWK
Invesco S&P MidCap 400 Revenue ETF
Expense ratio chart for RWK: 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 PRFZ: 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%

Risk-Adjusted Performance

RWK vs. PRFZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400 Revenue ETF (RWK) and Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ). 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 RWK, currently valued at 0.80, compared to the broader market0.002.004.000.800.79
The chart of Sortino ratio for RWK, currently valued at 1.22, compared to the broader market-2.000.002.004.006.008.0010.001.221.23
The chart of Omega ratio for RWK, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.15
The chart of Calmar ratio for RWK, currently valued at 1.55, compared to the broader market0.005.0010.0015.001.551.66
The chart of Martin ratio for RWK, currently valued at 4.17, compared to the broader market0.0020.0040.0060.0080.00100.004.174.36
RWK
PRFZ

The current RWK Sharpe Ratio is 0.80, which is comparable to the PRFZ Sharpe Ratio of 0.79. The chart below compares the historical Sharpe Ratios of RWK and PRFZ, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.80
0.79
RWK
PRFZ

Dividends

RWK vs. PRFZ - Dividend Comparison

RWK's dividend yield for the trailing twelve months is around 0.83%, less than PRFZ's 0.89% yield.


TTM20232022202120202019201820172016201520142013
RWK
Invesco S&P MidCap 400 Revenue ETF
0.83%1.05%1.18%0.85%0.96%1.09%1.22%0.74%1.30%0.92%1.03%1.29%
PRFZ
Invesco FTSE RAFI US 1500 Small-Mid ETF
0.89%1.42%1.33%0.93%0.91%1.29%1.37%0.97%1.31%1.39%1.14%0.93%

Drawdowns

RWK vs. PRFZ - Drawdown Comparison

The maximum RWK drawdown since its inception was -56.49%, smaller than the maximum PRFZ drawdown of -62.42%. Use the drawdown chart below to compare losses from any high point for RWK and PRFZ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.03%
-7.31%
RWK
PRFZ

Volatility

RWK vs. PRFZ - Volatility Comparison

The current volatility for Invesco S&P MidCap 400 Revenue ETF (RWK) is 5.27%, while Invesco FTSE RAFI US 1500 Small-Mid ETF (PRFZ) has a volatility of 5.89%. This indicates that RWK experiences smaller price fluctuations and is considered to be less risky than PRFZ 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%JulyAugustSeptemberOctoberNovemberDecember
5.27%
5.89%
RWK
PRFZ
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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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