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RWL vs. FVAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RWL and FVAL is 0.94, 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

RWL vs. FVAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Revenue ETF (RWL) and Fidelity Value Factor ETF (FVAL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.15%
7.93%
RWL
FVAL

Key characteristics

Sharpe Ratio

RWL:

1.65

FVAL:

1.59

Sortino Ratio

RWL:

2.31

FVAL:

2.16

Omega Ratio

RWL:

1.30

FVAL:

1.30

Calmar Ratio

RWL:

2.83

FVAL:

2.38

Martin Ratio

RWL:

9.78

FVAL:

9.95

Ulcer Index

RWL:

1.76%

FVAL:

1.86%

Daily Std Dev

RWL:

10.44%

FVAL:

11.61%

Max Drawdown

RWL:

-54.83%

FVAL:

-37.26%

Current Drawdown

RWL:

-5.78%

FVAL:

-4.38%

Returns By Period

In the year-to-date period, RWL achieves a 16.21% return, which is significantly lower than FVAL's 17.68% return.


RWL

YTD

16.21%

1M

-3.35%

6M

6.54%

1Y

16.38%

5Y*

12.81%

10Y*

11.11%

FVAL

YTD

17.68%

1M

-1.55%

6M

8.38%

1Y

17.43%

5Y*

12.10%

10Y*

N/A

Compare stocks, funds, or ETFs

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


RWL vs. FVAL - Expense Ratio Comparison

RWL has a 0.39% expense ratio, which is higher than FVAL's 0.29% expense ratio.


RWL
Invesco S&P 500 Revenue ETF
Expense ratio chart for RWL: 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 FVAL: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

RWL vs. FVAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Revenue ETF (RWL) and Fidelity Value Factor ETF (FVAL). 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 RWL, currently valued at 1.65, compared to the broader market0.002.004.001.651.59
The chart of Sortino ratio for RWL, currently valued at 2.31, compared to the broader market-2.000.002.004.006.008.0010.002.312.16
The chart of Omega ratio for RWL, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.30
The chart of Calmar ratio for RWL, currently valued at 2.83, compared to the broader market0.005.0010.0015.002.832.38
The chart of Martin ratio for RWL, currently valued at 9.78, compared to the broader market0.0020.0040.0060.0080.00100.009.789.95
RWL
FVAL

The current RWL Sharpe Ratio is 1.65, which is comparable to the FVAL Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of RWL and FVAL, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.65
1.59
RWL
FVAL

Dividends

RWL vs. FVAL - Dividend Comparison

RWL's dividend yield for the trailing twelve months is around 1.06%, less than FVAL's 1.21% yield.


TTM20232022202120202019201820172016201520142013
RWL
Invesco S&P 500 Revenue ETF
1.06%1.60%1.62%1.35%1.75%1.87%1.99%1.61%1.71%1.97%1.43%1.61%
FVAL
Fidelity Value Factor ETF
1.21%1.69%1.79%1.41%1.61%1.77%2.06%1.62%0.45%0.00%0.00%0.00%

Drawdowns

RWL vs. FVAL - Drawdown Comparison

The maximum RWL drawdown since its inception was -54.83%, which is greater than FVAL's maximum drawdown of -37.26%. Use the drawdown chart below to compare losses from any high point for RWL and FVAL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.78%
-4.38%
RWL
FVAL

Volatility

RWL vs. FVAL - Volatility Comparison

Invesco S&P 500 Revenue ETF (RWL) and Fidelity Value Factor ETF (FVAL) have volatilities of 3.08% and 3.08%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.08%
3.08%
RWL
FVAL
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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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