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

Correlation

The correlation between RWL and SWPPX is 0.92, 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. SWPPX - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.15%
6.70%
RWL
SWPPX

Key characteristics

Sharpe Ratio

RWL:

1.65

SWPPX:

1.90

Sortino Ratio

RWL:

2.31

SWPPX:

2.55

Omega Ratio

RWL:

1.30

SWPPX:

1.35

Calmar Ratio

RWL:

2.83

SWPPX:

2.85

Martin Ratio

RWL:

9.78

SWPPX:

12.54

Ulcer Index

RWL:

1.76%

SWPPX:

1.92%

Daily Std Dev

RWL:

10.44%

SWPPX:

12.65%

Max Drawdown

RWL:

-54.83%

SWPPX:

-55.06%

Current Drawdown

RWL:

-5.78%

SWPPX:

-4.68%

Returns By Period

In the year-to-date period, RWL achieves a 16.21% return, which is significantly lower than SWPPX's 23.26% return. Over the past 10 years, RWL has underperformed SWPPX with an annualized return of 11.11%, while SWPPX has yielded a comparatively higher 12.86% annualized return.


RWL

YTD

16.21%

1M

-3.35%

6M

6.54%

1Y

16.38%

5Y*

12.81%

10Y*

11.11%

SWPPX

YTD

23.26%

1M

-1.41%

6M

6.44%

1Y

23.34%

5Y*

14.30%

10Y*

12.86%

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. SWPPX - Expense Ratio Comparison

RWL has a 0.39% expense ratio, which is higher than SWPPX's 0.02% 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 SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

RWL vs. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Revenue ETF (RWL) and Schwab S&P 500 Index Fund (SWPPX). 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 market0.002.004.001.651.90
The chart of Sortino ratio for RWL, currently valued at 2.31, compared to the broader market-2.000.002.004.006.008.0010.002.312.55
The chart of Omega ratio for RWL, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.35
The chart of Calmar ratio for RWL, currently valued at 2.83, compared to the broader market0.005.0010.0015.002.832.85
The chart of Martin ratio for RWL, currently valued at 9.78, compared to the broader market0.0020.0040.0060.0080.00100.009.7812.54
RWL
SWPPX

The current RWL Sharpe Ratio is 1.65, which is comparable to the SWPPX Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of RWL and SWPPX, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.65
1.90
RWL
SWPPX

Dividends

RWL vs. SWPPX - Dividend Comparison

RWL's dividend yield for the trailing twelve months is around 1.06%, while SWPPX has not paid dividends to shareholders.


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%
SWPPX
Schwab S&P 500 Index Fund
0.00%1.43%1.67%1.17%1.81%1.77%2.20%1.75%1.99%2.15%1.80%1.67%

Drawdowns

RWL vs. SWPPX - Drawdown Comparison

The maximum RWL drawdown since its inception was -54.83%, roughly equal to the maximum SWPPX drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for RWL and SWPPX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.78%
-4.68%
RWL
SWPPX

Volatility

RWL vs. SWPPX - Volatility Comparison

The current volatility for Invesco S&P 500 Revenue ETF (RWL) is 3.08%, while Schwab S&P 500 Index Fund (SWPPX) has a volatility of 3.82%. This indicates that RWL experiences smaller price fluctuations and is considered to be less risky than SWPPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.08%
3.82%
RWL
SWPPX
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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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