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VADDX vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VADDX vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Equally-Weighted S&P 500 Fund (VADDX) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.58%
11.23%
VADDX
SPLG

Returns By Period

In the year-to-date period, VADDX achieves a 16.01% return, which is significantly lower than SPLG's 24.49% return. Over the past 10 years, VADDX has underperformed SPLG with an annualized return of 10.98%, while SPLG has yielded a comparatively higher 13.22% annualized return.


VADDX

YTD

16.01%

1M

-0.38%

6M

8.49%

1Y

26.86%

5Y (annualized)

13.29%

10Y (annualized)

10.98%

SPLG

YTD

24.49%

1M

0.58%

6M

11.37%

1Y

31.92%

5Y (annualized)

15.34%

10Y (annualized)

13.22%

Key characteristics


VADDXSPLG
Sharpe Ratio1.842.65
Sortino Ratio2.663.54
Omega Ratio1.381.49
Calmar Ratio2.863.81
Martin Ratio9.6717.23
Ulcer Index2.74%1.86%
Daily Std Dev14.36%12.12%
Max Drawdown-70.42%-54.50%
Current Drawdown-2.20%-2.17%

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VADDX vs. SPLG - Expense Ratio Comparison

VADDX has a 0.27% expense ratio, which is higher than SPLG's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VADDX
Invesco Equally-Weighted S&P 500 Fund
Expense ratio chart for VADDX: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
Expense ratio chart for SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.8

The correlation between VADDX and SPLG 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

VADDX vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Equally-Weighted S&P 500 Fund (VADDX) and SPDR Portfolio S&P 500 ETF (SPLG). 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 VADDX, currently valued at 1.84, compared to the broader market0.002.004.001.842.65
The chart of Sortino ratio for VADDX, currently valued at 2.66, compared to the broader market0.005.0010.002.663.54
The chart of Omega ratio for VADDX, currently valued at 1.38, compared to the broader market1.002.003.004.001.381.49
The chart of Calmar ratio for VADDX, currently valued at 2.86, compared to the broader market0.005.0010.0015.0020.0025.002.863.81
The chart of Martin ratio for VADDX, currently valued at 9.67, compared to the broader market0.0020.0040.0060.0080.00100.009.6717.23
VADDX
SPLG

The current VADDX Sharpe Ratio is 1.84, which is lower than the SPLG Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of VADDX and SPLG, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.84
2.65
VADDX
SPLG

Dividends

VADDX vs. SPLG - Dividend Comparison

VADDX's dividend yield for the trailing twelve months is around 1.47%, more than SPLG's 1.25% yield.


TTM20232022202120202019201820172016201520142013
VADDX
Invesco Equally-Weighted S&P 500 Fund
1.47%1.70%1.44%1.40%1.69%1.84%1.87%1.58%1.24%1.66%1.19%1.27%
SPLG
SPDR Portfolio S&P 500 ETF
1.25%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

VADDX vs. SPLG - Drawdown Comparison

The maximum VADDX drawdown since its inception was -70.42%, which is greater than SPLG's maximum drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for VADDX and SPLG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.20%
-2.17%
VADDX
SPLG

Volatility

VADDX vs. SPLG - Volatility Comparison

The current volatility for Invesco Equally-Weighted S&P 500 Fund (VADDX) is 3.56%, while SPDR Portfolio S&P 500 ETF (SPLG) has a volatility of 4.08%. This indicates that VADDX experiences smaller price fluctuations and is considered to be less risky than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.56%
4.08%
VADDX
SPLG