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

Performance

SMDV vs. RWJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Russell 2000 Dividend Growers ETF (SMDV) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
17.97%
15.27%
SMDV
RWJ

Returns By Period

The year-to-date returns for both investments are quite close, with SMDV having a 15.65% return and RWJ slightly higher at 15.67%.


SMDV

YTD

15.65%

1M

7.47%

6M

18.38%

1Y

30.08%

5Y (annualized)

6.90%

10Y (annualized)

N/A

RWJ

YTD

15.67%

1M

5.12%

6M

16.05%

1Y

31.21%

5Y (annualized)

18.41%

10Y (annualized)

10.95%

Key characteristics


SMDVRWJ
Sharpe Ratio1.491.44
Sortino Ratio2.262.17
Omega Ratio1.271.26
Calmar Ratio2.592.26
Martin Ratio6.247.83
Ulcer Index4.90%4.02%
Daily Std Dev20.54%21.79%
Max Drawdown-34.12%-55.97%
Current Drawdown-1.51%-2.59%

Compare stocks, funds, or ETFs

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


SMDV vs. RWJ - Expense Ratio Comparison

SMDV has a 0.40% expense ratio, which is higher than RWJ's 0.39% expense ratio.


SMDV
ProShares Russell 2000 Dividend Growers ETF
Expense ratio chart for SMDV: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for RWJ: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Correlation

-0.50.00.51.00.8

The correlation between SMDV and RWJ is 0.82, 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.

Risk-Adjusted Performance

SMDV vs. RWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Russell 2000 Dividend Growers ETF (SMDV) 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.


Sharpe ratio
The chart of Sharpe ratio for SMDV, currently valued at 1.49, compared to the broader market0.002.004.001.491.44
The chart of Sortino ratio for SMDV, currently valued at 2.26, compared to the broader market-2.000.002.004.006.008.0010.002.262.17
The chart of Omega ratio for SMDV, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.26
The chart of Calmar ratio for SMDV, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.592.26
The chart of Martin ratio for SMDV, currently valued at 6.24, compared to the broader market0.0020.0040.0060.0080.00100.006.247.83
SMDV
RWJ

The current SMDV Sharpe Ratio is 1.49, which is comparable to the RWJ Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of SMDV and RWJ, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.49
1.44
SMDV
RWJ

Dividends

SMDV vs. RWJ - Dividend Comparison

SMDV's dividend yield for the trailing twelve months is around 2.60%, more than RWJ's 1.22% yield.


TTM20232022202120202019201820172016201520142013
SMDV
ProShares Russell 2000 Dividend Growers ETF
2.60%2.69%2.51%2.03%2.12%2.03%1.97%1.84%1.08%1.47%0.00%0.00%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
1.22%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.60%0.74%0.57%1.27%

Drawdowns

SMDV vs. RWJ - Drawdown Comparison

The maximum SMDV drawdown since its inception was -34.12%, smaller than the maximum RWJ drawdown of -55.97%. Use the drawdown chart below to compare losses from any high point for SMDV and RWJ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.51%
-2.59%
SMDV
RWJ

Volatility

SMDV vs. RWJ - Volatility Comparison

ProShares Russell 2000 Dividend Growers ETF (SMDV) has a higher volatility of 8.39% compared to Invesco S&P SmallCap 600 Revenue ETF (RWJ) at 7.62%. This indicates that SMDV'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.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.39%
7.62%
SMDV
RWJ