RZG vs. ^GSPC
Compare and contrast key facts about Invesco S&P SmallCap 600® Pure Growth ETF (RZG) and S&P 500 (^GSPC).
RZG is a passively managed fund by Invesco that tracks the performance of the S&P Small Cap 600 Pure Growth. It was launched on Mar 1, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RZG or ^GSPC.
Key characteristics
| RZG | ^GSPC | |
|---|---|---|
| YTD Return | 19.19% | 25.48% |
| 1Y Return | 31.78% | 33.14% |
| 3Y Return (Ann) | -1.49% | 8.55% |
| 5Y Return (Ann) | 9.02% | 13.96% |
| 10Y Return (Ann) | 8.18% | 11.39% |
| Sharpe Ratio | 1.87 | 2.91 |
| Sortino Ratio | 2.75 | 3.88 |
| Omega Ratio | 1.32 | 1.55 |
| Calmar Ratio | 1.30 | 4.20 |
| Martin Ratio | 11.37 | 18.80 |
| Ulcer Index | 3.34% | 1.90% |
| Daily Std Dev | 20.30% | 12.27% |
| Max Drawdown | -58.52% | -56.78% |
| Current Drawdown | -5.12% | -0.27% |
Correlation
The correlation between RZG and ^GSPC is 0.76, 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. ^GSPC - Performance Comparison
In the year-to-date period, RZG achieves a 19.19% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, RZG has underperformed ^GSPC with an annualized return of 8.18%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
RZG vs. ^GSPC - 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 S&P 500 (^GSPC). 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.
Drawdowns
RZG vs. ^GSPC - Drawdown Comparison
The maximum RZG drawdown since its inception was -58.52%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for RZG and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
RZG vs. ^GSPC - Volatility Comparison
Invesco S&P SmallCap 600® Pure Growth ETF (RZG) has a higher volatility of 7.94% compared to S&P 500 (^GSPC) at 3.75%. This indicates that RZG's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.