PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RZV vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RZV and SPY is 0.74, 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.


-0.50.00.51.00.7

Performance

RZV vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600® Pure Value ETF (RZV) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
266.63%
559.21%
RZV
SPY

Key characteristics

Sharpe Ratio

RZV:

0.30

SPY:

2.21

Sortino Ratio

RZV:

0.59

SPY:

2.93

Omega Ratio

RZV:

1.07

SPY:

1.41

Calmar Ratio

RZV:

0.64

SPY:

3.26

Martin Ratio

RZV:

1.27

SPY:

14.43

Ulcer Index

RZV:

5.35%

SPY:

1.90%

Daily Std Dev

RZV:

22.67%

SPY:

12.41%

Max Drawdown

RZV:

-77.11%

SPY:

-55.19%

Current Drawdown

RZV:

-6.97%

SPY:

-2.74%

Returns By Period

In the year-to-date period, RZV achieves a 4.47% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, RZV has underperformed SPY with an annualized return of 7.00%, while SPY has yielded a comparatively higher 12.97% annualized return.


RZV

YTD

4.47%

1M

-1.36%

6M

11.42%

1Y

5.10%

5Y*

11.20%

10Y*

7.00%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


RZV vs. SPY - Expense Ratio Comparison

RZV has a 0.35% expense ratio, which is higher than SPY's 0.09% expense ratio.


RZV
Invesco S&P SmallCap 600® Pure Value ETF
Expense ratio chart for RZV: 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

RZV vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600® Pure Value ETF (RZV) and SPDR S&P 500 ETF (SPY). 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 RZV, currently valued at 0.30, compared to the broader market0.002.004.000.302.21
The chart of Sortino ratio for RZV, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.000.592.93
The chart of Omega ratio for RZV, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.41
The chart of Calmar ratio for RZV, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.643.26
The chart of Martin ratio for RZV, currently valued at 1.27, compared to the broader market0.0020.0040.0060.0080.00100.001.2714.43
RZV
SPY

The current RZV Sharpe Ratio is 0.30, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of RZV and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.30
2.21
RZV
SPY

Dividends

RZV vs. SPY - Dividend Comparison

RZV's dividend yield for the trailing twelve months is around 0.85%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
RZV
Invesco S&P SmallCap 600® Pure Value ETF
0.85%1.13%1.43%0.86%0.63%1.03%2.03%1.02%0.46%1.24%0.68%0.64%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

RZV vs. SPY - Drawdown Comparison

The maximum RZV drawdown since its inception was -77.11%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RZV and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.97%
-2.74%
RZV
SPY

Volatility

RZV vs. SPY - Volatility Comparison

Invesco S&P SmallCap 600® Pure Value ETF (RZV) has a higher volatility of 6.19% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that RZV's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.19%
3.72%
RZV
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab