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RZV vs. VBR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RZVVBR
YTD Return-6.79%1.51%
1Y Return11.68%17.66%
3Y Return (Ann)5.77%4.98%
5Y Return (Ann)9.26%8.64%
10Y Return (Ann)6.17%8.60%
Sharpe Ratio0.531.08
Daily Std Dev23.76%17.14%
Max Drawdown-77.11%-62.01%
Current Drawdown-7.99%-5.27%

Correlation

0.91
-1.001.00

The correlation between RZV and VBR is 0.91, 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

RZV vs. VBR - Performance Comparison

In the year-to-date period, RZV achieves a -6.79% return, which is significantly lower than VBR's 1.51% return. Over the past 10 years, RZV has underperformed VBR with an annualized return of 6.17%, while VBR has yielded a comparatively higher 8.60% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2024FebruaryMarchApril
16.01%
18.35%
RZV
VBR

Compare stocks, funds, or ETFs


Invesco S&P SmallCap 600® Pure Value ETF

Vanguard Small-Cap Value ETF

RZV vs. VBR - Expense Ratio Comparison

RZV has a 0.35% expense ratio, which is higher than VBR's 0.07% expense ratio.

RZV
Invesco S&P SmallCap 600® Pure Value ETF
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

RZV vs. VBR - 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 Vanguard Small-Cap Value ETF (VBR). 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.


RZV
Sharpe ratio
The Sharpe ratio of RZV compared to the broader market0.002.004.000.53
Sortino ratio
The Sortino ratio of RZV compared to the broader market-2.000.002.004.006.008.0010.000.96
Omega ratio
The Omega ratio of RZV compared to the broader market1.001.502.002.501.11
Calmar ratio
The Calmar ratio of RZV compared to the broader market0.002.004.006.008.0010.0012.000.59
Martin ratio
The Martin ratio of RZV compared to the broader market0.0020.0040.0060.0080.002.00
VBR
Sharpe ratio
The Sharpe ratio of VBR compared to the broader market0.002.004.001.08
Sortino ratio
The Sortino ratio of VBR compared to the broader market-2.000.002.004.006.008.0010.001.67
Omega ratio
The Omega ratio of VBR compared to the broader market1.001.502.002.501.19
Calmar ratio
The Calmar ratio of VBR compared to the broader market0.002.004.006.008.0010.0012.001.15
Martin ratio
The Martin ratio of VBR compared to the broader market0.0020.0040.0060.0080.003.81

RZV vs. VBR - Sharpe Ratio Comparison

The current RZV Sharpe Ratio is 0.53, which is lower than the VBR Sharpe Ratio of 1.08. The chart below compares the 12-month rolling Sharpe Ratio of RZV and VBR.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.53
1.08
RZV
VBR

Dividends

RZV vs. VBR - Dividend Comparison

RZV's dividend yield for the trailing twelve months is around 1.22%, less than VBR's 2.12% yield.


TTM20232022202120202019201820172016201520142013
RZV
Invesco S&P SmallCap 600® Pure Value ETF
1.22%1.13%1.43%0.86%0.63%1.03%2.03%1.02%0.46%1.24%0.68%0.64%
VBR
Vanguard Small-Cap Value ETF
2.12%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

RZV vs. VBR - Drawdown Comparison

The maximum RZV drawdown since its inception was -77.11%, which is greater than VBR's maximum drawdown of -62.01%. The drawdown chart below compares losses from any high point along the way for RZV and VBR


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.99%
-5.27%
RZV
VBR

Volatility

RZV vs. VBR - Volatility Comparison

Invesco S&P SmallCap 600® Pure Value ETF (RZV) has a higher volatility of 6.90% compared to Vanguard Small-Cap Value ETF (VBR) at 4.92%. This indicates that RZV's price experiences larger fluctuations and is considered to be riskier than VBR 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%NovemberDecember2024FebruaryMarchApril
6.90%
4.92%
RZV
VBR