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RZG vs. SPSM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RZGSPSM
YTD Return19.28%16.09%
1Y Return41.12%39.25%
3Y Return (Ann)-1.60%2.81%
5Y Return (Ann)9.05%10.73%
10Y Return (Ann)8.16%9.38%
Sharpe Ratio1.961.81
Sortino Ratio2.862.70
Omega Ratio1.331.32
Calmar Ratio1.211.68
Martin Ratio11.9010.73
Ulcer Index3.33%3.49%
Daily Std Dev20.27%20.62%
Max Drawdown-58.52%-42.89%
Current Drawdown-5.05%-0.12%

Correlation

-0.50.00.51.00.9

The correlation between RZG and SPSM 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.

Performance

RZG vs. SPSM - Performance Comparison

In the year-to-date period, RZG achieves a 19.28% return, which is significantly higher than SPSM's 16.09% return. Over the past 10 years, RZG has underperformed SPSM with an annualized return of 8.16%, while SPSM has yielded a comparatively higher 9.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


120.00%140.00%160.00%180.00%200.00%JuneJulyAugustSeptemberOctoberNovember
162.01%
189.78%
RZG
SPSM

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RZG vs. SPSM - Expense Ratio Comparison

RZG has a 0.35% expense ratio, which is higher than SPSM's 0.05% expense ratio.


RZG
Invesco S&P SmallCap 600® Pure Growth ETF
Expense ratio chart for RZG: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for SPSM: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

RZG vs. SPSM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600® Pure Growth ETF (RZG) and SPDR Portfolio S&P 600 Small Cap ETF (SPSM). 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.


RZG
Sharpe ratio
The chart of Sharpe ratio for RZG, currently valued at 1.96, compared to the broader market-2.000.002.004.006.001.96
Sortino ratio
The chart of Sortino ratio for RZG, currently valued at 2.86, compared to the broader market-2.000.002.004.006.008.0010.0012.002.86
Omega ratio
The chart of Omega ratio for RZG, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for RZG, currently valued at 1.21, compared to the broader market0.005.0010.0015.001.21
Martin ratio
The chart of Martin ratio for RZG, currently valued at 11.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.90
SPSM
Sharpe ratio
The chart of Sharpe ratio for SPSM, currently valued at 1.81, compared to the broader market-2.000.002.004.006.001.81
Sortino ratio
The chart of Sortino ratio for SPSM, currently valued at 2.70, compared to the broader market-2.000.002.004.006.008.0010.0012.002.70
Omega ratio
The chart of Omega ratio for SPSM, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for SPSM, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.68
Martin ratio
The chart of Martin ratio for SPSM, currently valued at 10.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.73

RZG vs. SPSM - Sharpe Ratio Comparison

The current RZG Sharpe Ratio is 1.96, which is comparable to the SPSM Sharpe Ratio of 1.81. The chart below compares the historical Sharpe Ratios of RZG and SPSM, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.96
1.81
RZG
SPSM

Dividends

RZG vs. SPSM - Dividend Comparison

RZG's dividend yield for the trailing twelve months is around 0.95%, less than SPSM's 1.75% yield.


TTM20232022202120202019201820172016201520142013
RZG
Invesco S&P SmallCap 600® Pure Growth ETF
0.95%1.43%1.59%0.22%0.48%0.70%0.46%0.44%0.65%0.70%0.36%0.34%
SPSM
SPDR Portfolio S&P 600 Small Cap ETF
1.75%1.61%1.38%1.41%1.17%1.58%1.82%1.51%1.49%2.37%1.70%0.68%

Drawdowns

RZG vs. SPSM - Drawdown Comparison

The maximum RZG drawdown since its inception was -58.52%, which is greater than SPSM's maximum drawdown of -42.89%. Use the drawdown chart below to compare losses from any high point for RZG and SPSM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.05%
-0.12%
RZG
SPSM

Volatility

RZG vs. SPSM - Volatility Comparison

Invesco S&P SmallCap 600® Pure Growth ETF (RZG) has a higher volatility of 7.73% compared to SPDR Portfolio S&P 600 Small Cap ETF (SPSM) at 7.34%. This indicates that RZG's price experiences larger fluctuations and is considered to be riskier than SPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
7.73%
7.34%
RZG
SPSM