SAA vs. RWJ
Compare and contrast key facts about ProShares Ultra SmallCap600 (SAA) and Invesco S&P SmallCap 600 Revenue ETF (RWJ).
SAA and RWJ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SAA is a passively managed fund by ProShares that tracks the performance of the S&P SmallCap 600 Index (200%). It was launched on Jan 25, 2007. RWJ is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Revenue-Weighted Index. It was launched on Feb 22, 2008. Both SAA and RWJ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SAA or RWJ.
Key characteristics
| SAA | RWJ | |
|---|---|---|
| YTD Return | 22.15% | 16.91% |
| 1Y Return | 72.37% | 40.80% |
| 3Y Return (Ann) | -4.75% | 4.78% |
| 5Y Return (Ann) | 8.63% | 17.89% |
| 10Y Return (Ann) | 11.94% | 11.17% |
| Sharpe Ratio | 1.62 | 1.71 |
| Sortino Ratio | 2.35 | 2.54 |
| Omega Ratio | 1.28 | 1.30 |
| Calmar Ratio | 1.37 | 2.09 |
| Martin Ratio | 7.89 | 9.73 |
| Ulcer Index | 8.68% | 3.97% |
| Daily Std Dev | 42.43% | 22.57% |
| Max Drawdown | -87.40% | -55.97% |
| Current Drawdown | -13.96% | -0.68% |
Correlation
The correlation between SAA and RWJ is 0.87, 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
SAA vs. RWJ - Performance Comparison
In the year-to-date period, SAA achieves a 22.15% return, which is significantly higher than RWJ's 16.91% return. Over the past 10 years, SAA has outperformed RWJ with an annualized return of 11.94%, while RWJ has yielded a comparatively lower 11.17% 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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SAA vs. RWJ - Expense Ratio Comparison
SAA has a 0.95% expense ratio, which is higher than RWJ's 0.39% expense ratio.
Risk-Adjusted Performance
SAA vs. RWJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra SmallCap600 (SAA) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). 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.
Dividends
SAA vs. RWJ - Dividend Comparison
SAA's dividend yield for the trailing twelve months is around 1.07%, less than RWJ's 1.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SAA ProShares Ultra SmallCap600 | 1.07% | 0.87% | 0.46% | 0.00% | 0.03% | 0.35% | 0.27% | 0.00% | 0.41% | 0.00% | 0.00% | 0.00% |
RWJ Invesco S&P SmallCap 600 Revenue ETF | 1.21% | 1.34% | 1.02% | 0.61% | 0.89% | 1.22% | 1.44% | 0.91% | 0.60% | 0.74% | 0.57% | 1.27% |
Drawdowns
SAA vs. RWJ - Drawdown Comparison
The maximum SAA drawdown since its inception was -87.40%, which is greater than RWJ's maximum drawdown of -55.97%. Use the drawdown chart below to compare losses from any high point for SAA and RWJ. For additional features, visit the drawdowns tool.
Volatility
SAA vs. RWJ - Volatility Comparison
ProShares Ultra SmallCap600 (SAA) has a higher volatility of 14.55% compared to Invesco S&P SmallCap 600 Revenue ETF (RWJ) at 7.66%. This indicates that SAA's price experiences larger fluctuations and is considered to be riskier than RWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.