Fund Performance Analysis

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Fund Information (May 2003 - Feb 2020)

Fund information
NameInvesco S&P 500 Equal Weight ETF (RSP)
Asset ClassU.S. Equity
CategoryLarge Blend
Fund BenchmarkS&P 500 Equal Weighted TR USD
Selected BenchmarkSPDR S&P 500 ETF Trust (SPY)
Price/Earnings (TTM)23.53
Yield (SEC)1.63%
Yield (TTM)1.64%
Assets18.18 B
Expense Ratio0.20%
Inception Date04/24/2003

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P 500 Equal Weight ETF$10,000$52,332 10.33% 15.89%44.64%-40.07%-55.58% 0.620.930.98
SPDR S&P 500 ETF Trust$10,000$44,924 9.34% 13.45%32.31%-36.81%-50.80% 0.640.921.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Invesco S&P 500 Equal Weight ETF-8.17%1.25%6.17%6.46%11.77%10.33%14.09%13.04%
SPDR S&P 500 ETF Trust-5.28%8.32%9.87%9.19%12.57%9.34%13.03%12.29%
Trailing annualized return and volatility are for full months ending in February 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 01/26/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Invesco S&P 500 Equal Weight ETF vs. SPDR S&P 500 ETF Trust

Up vs. Down Market Performance - Invesco S&P 500 Equal Weight ETF vs. SPDR S&P 500 ETF Trust
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market795913857%1.06%-0.58%0.36%
Down Market21436433%0.64%-0.98%-0.45%
Total10010220250%0.98%-0.75%0.11%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryInvesco S&P 500 Equal Weight ETFSPDR S&P 500 ETF Trust
Large-cap Value40.52%46.22%
Large-cap Growth6.69%52.83%
Mid-cap Value21.89%0.00%
Mid-cap Growth23.66%0.55%
Small-cap Value1.62%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets2.79%0.00%
Emerging Markets2.82%0.05%
Corporate Bonds0.00%0.36%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared97.86%99.90%
Style analysis is based on monthly returns from April 2005 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Invesco S&P 500 Equal Weight ETF

Holdings Based Style Analysis for Invesco S&P 500 Equal Weight ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend100.00%1.63%0.20%23.53$42,332100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for SPDR S&P 500 ETF Trust

Holdings Based Style Analysis for SPDR S&P 500 ETF Trust
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.44%0.09%28.32$34,924100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricInvesco S&P 500 Equal Weight ETFSPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)0.93%0.82%
Arithmetic Mean (annualized)11.73%10.33%
Geometric Mean (monthly)0.82%0.75%
Geometric Mean (annualized)10.33%9.34%
Volatility (monthly)4.59%3.88%
Volatility (annualized)15.89%13.45%
Downside Deviation (monthly)3.03%2.64%
Max. Drawdown-55.58%-50.80%
US Market Correlation0.981.00
Beta(*)1.151.00
Alpha (annualized)-0.18%-0.00%
R294.30%100.00%
Sharpe Ratio0.620.64
Sortino Ratio0.930.92
Treynor Ratio (%)8.598.58
Calmar Ratio0.440.73
Active Return1.00%N/A
Tracking Error4.28%N/A
Information Ratio0.23N/A
Skewness-0.54-0.81
Excess Kurtosis3.302.12
Historical Value-at-Risk (5%)-7.23%-6.88%
Analytical Value-at-Risk (5%)-6.62%-5.57%
Conditional Value-at-Risk (5%)-10.27%-8.98%
Upside Capture Ratio (%)113.54100.00
Downside Capture Ratio (%)112.45100.00
Safe Withdrawal Rate11.45%9.48%
Perpetual Withdrawal Rate7.44%6.60%
Positive Periods136 out of 202 (67.33%)137 out of 202 (67.82%)
Gain/Loss Ratio0.840.81
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Invesco S&P 500 Equal Weight ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
200310.94%0.87%2.35%4.31%-1.48%6.92%2.11%5.18%35.17%
20042.37%1.90%-0.68%-2.36%1.75%3.04%-4.58%-0.10%2.57%2.37%5.79%3.71%16.48%
2005-3.08%2.13%-1.36%-3.20%4.50%1.54%5.11%-0.87%0.50%-2.68%4.55%0.53%7.41%
20064.03%0.34%2.10%0.86%-2.97%-0.28%-1.33%2.74%2.39%3.76%2.50%0.57%15.46%
20072.41%-0.47%0.82%4.41%3.24%-1.86%-4.51%0.08%2.49%1.12%-4.65%-1.72%0.90%
2008-4.30%-3.01%-1.86%5.72%2.65%-9.84%-0.50%2.96%-10.91%-20.91%-9.63%3.08%-40.07%
2009-8.35%-11.22%10.26%18.69%6.46%-1.20%9.19%5.65%5.29%-3.70%5.54%4.61%44.64%
2010-3.31%4.19%7.22%2.65%-7.37%-6.31%7.35%-4.76%10.19%3.56%0.82%7.21%21.37%
20112.11%4.02%0.83%3.13%-0.61%-1.80%-3.62%-6.35%-9.05%13.07%-0.88%0.16%-0.67%
20125.68%4.01%2.32%-0.75%-6.99%3.86%0.12%3.07%2.51%-0.82%1.28%2.27%17.16%
20136.51%0.97%4.36%1.69%2.69%-1.23%5.63%-2.92%4.11%4.28%2.22%2.88%35.54%
2014-2.96%5.34%0.61%0.38%2.16%2.86%-2.33%4.20%-2.58%3.02%2.66%0.28%14.06%
2015-2.92%5.73%-0.96%0.41%0.72%-2.27%0.96%-5.46%-3.01%6.99%0.30%-2.48%-2.66%
2016-5.56%0.99%7.98%1.25%1.36%-0.06%4.14%0.16%0.10%-2.44%5.24%1.13%14.50%
20172.01%3.13%0.02%0.66%0.56%1.16%1.60%-1.00%2.93%1.09%3.80%1.24%18.51%
20184.38%-4.39%-0.93%0.37%1.45%0.97%3.10%1.96%0.17%-7.25%2.61%-9.54%-7.82%
20199.81%3.67%0.84%3.59%-6.93%7.55%0.84%-3.27%3.27%1.23%3.40%2.70%28.91%
2020-1.88%-8.87%-10.59%

SPDR S&P 500 ETF Trust Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20035.48%1.07%1.80%2.06%-1.09%5.35%1.09%5.03%22.56%
20041.98%1.36%-1.32%-1.89%1.71%1.85%-3.22%0.24%1.00%1.29%4.45%3.02%10.70%
2005-2.24%2.09%-1.83%-1.87%3.22%0.15%3.83%-0.94%0.80%-2.37%4.40%-0.19%4.83%
20062.40%0.57%1.65%1.26%-3.01%0.26%0.45%2.18%2.70%3.15%1.99%1.34%15.85%
20071.50%-1.96%1.16%4.43%3.39%-1.46%-3.13%1.28%3.87%1.36%-3.87%-1.13%5.14%
2008-6.05%-2.58%-0.90%4.77%1.51%-8.35%-0.90%1.55%-9.44%-16.52%-6.96%0.98%-36.81%
2009-8.21%-10.74%8.35%9.93%5.85%-0.07%7.46%3.69%3.55%-1.92%6.16%1.91%26.36%
2010-3.63%3.12%6.09%1.55%-7.95%-5.17%6.83%-4.50%8.96%3.82%0.00%6.68%15.06%
20112.33%3.47%0.01%2.90%-1.12%-1.69%-2.00%-5.50%-6.94%10.91%-0.41%1.04%1.89%
20124.64%4.34%3.22%-0.67%-6.01%4.05%1.18%2.51%2.54%-1.82%0.57%0.90%15.99%
20135.12%1.28%3.80%1.92%2.36%-1.34%5.17%-3.00%3.17%4.63%2.96%2.59%32.31%
2014-3.52%4.55%0.83%0.70%2.32%2.06%-1.34%3.95%-1.38%2.36%2.75%-0.26%13.46%
2015-2.96%5.62%-1.57%0.98%1.29%-2.03%2.26%-6.10%-2.54%8.51%0.37%-1.72%1.25%
2016-4.98%-0.08%6.72%0.39%1.70%0.35%3.65%0.12%0.01%-1.73%3.68%2.03%12.00%
20171.79%3.93%0.13%0.99%1.41%0.64%2.06%0.29%2.01%2.36%3.06%1.21%21.70%
20185.64%-3.64%-2.74%0.52%2.43%0.58%3.70%3.19%0.59%-6.91%1.85%-8.79%-4.56%
20198.01%3.24%1.81%4.09%-6.38%6.96%1.51%-1.67%1.95%2.21%3.62%2.90%31.22%
2020-0.04%-7.92%-7.95%

Invesco S&P 500 Equal Weight ETF Factor Regression

Invesco S&P 500 Equal Weight ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.070.130.120.07%96.53%
Carhart 4-factor model1.030.140.04-0.130.41%97.81%
Fama-French 5-factor model1.080.140.070.020.09-0.10%96.63%
Factor regression from May 2003 to Feb 2020. Statistically significant values in bold.

SPDR S&P 500 ETF Trust Factor Regression

SPDR S&P 500 ETF Trust Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.99-0.140.00-0.26%99.62%
Carhart 4-factor model0.99-0.14-0.00-0.00-0.25%99.62%
Fama-French 5-factor model1.00-0.130.010.040.04-0.41%99.65%
Factor regression from May 2003 to Feb 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodInvesco S&P 500 Equal Weight ETFSPDR S&P 500 ETF Trust
AverageHighLowAverageHighLow
1 year11.36%79.06%-47.46%10.17%53.27%-43.44%
3 years9.80%33.05%-18.35%9.05%25.45%-15.09%
5 years9.18%28.31%-7.39%8.35%22.86%-6.67%
7 years10.22%20.10%3.91%9.13%17.14%2.23%
10 years10.16%18.33%6.90%9.05%16.55%6.36%
15 years9.56%11.16%8.41%8.81%9.55%7.68%