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US small cap value etf comparisons
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VBR 10%VIOV 10%SLYV 10%IJS 10%RWJ 10%AVUV 10%DFAS 10%DFSV 10%DFSVX 10%VTWV 9.9%EquityEquity
PositionCategory/SectorWeight
AVUV
Avantis U.S. Small Cap Value ETF
Small Cap Value Equities, Actively Managed
10%
DFAS
Dimensional U.S. Small Cap ETF
Small Cap Blend Equities, Actively Managed
10%
DFSV
Dimensional US Small Cap Value ETF
Small Cap Value Equities
10%
DFSVX
DFA U.S. Small Cap Value Portfolio I
Small Cap Value Equities
10%
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities
10%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
Small Cap Value Equities
10%
RZV
Invesco S&P SmallCap 600® Pure Value ETF
Small Cap Value Equities
0.10%
SLYV
SPDR S&P 600 Small Cap Value ETF
Small Cap Value Equities
10%
VBR
Vanguard Small-Cap Value ETF
Small Cap Blend Equities
10%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
Small Cap Blend Equities
10%
VTWV
Vanguard Russell 2000 Value ETF
Small Cap Blend Equities
9.90%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in US small cap value etf comparisons, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.52%
8.53%
US small cap value etf comparisons
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 24, 2022, corresponding to the inception date of DFSV

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
US small cap value etf comparisons9.03%-3.42%11.52%9.44%N/AN/A
VTWV
Vanguard Russell 2000 Value ETF
8.32%-4.09%11.09%8.54%7.36%7.20%
VBR
Vanguard Small-Cap Value ETF
12.67%-3.84%10.18%13.14%9.95%8.74%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
8.14%-1.88%14.84%8.61%8.24%8.31%
SLYV
SPDR S&P 600 Small Cap Value ETF
7.87%-1.94%14.44%8.59%8.11%8.27%
IJS
iShares S&P SmallCap 600 Value ETF
7.58%-2.26%14.31%8.24%7.94%8.04%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
11.35%-2.10%14.31%11.73%16.37%10.38%
AVUV
Avantis U.S. Small Cap Value ETF
8.81%-4.40%9.81%9.14%14.00%N/A
DFAS
Dimensional U.S. Small Cap ETF
10.28%-3.50%10.03%10.59%N/AN/A
DFSV
Dimensional US Small Cap Value ETF
6.37%-4.87%8.19%6.63%N/AN/A
DFSVX
DFA U.S. Small Cap Value Portfolio I
8.46%-5.23%8.00%8.68%12.22%8.60%
RZV
Invesco S&P SmallCap 600® Pure Value ETF
4.47%-1.36%11.42%5.10%11.20%7.00%
*Annualized

Monthly Returns

The table below presents the monthly returns of US small cap value etf comparisons, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.01%2.96%4.39%-6.23%4.86%-2.68%11.06%-1.79%0.83%-1.64%10.47%9.03%
202310.53%-1.48%-6.64%-2.06%-3.44%9.22%6.65%-4.16%-5.20%-5.74%8.76%12.27%17.10%
20222.83%0.84%-6.38%2.71%-10.15%9.75%-3.12%-10.20%14.00%4.61%-6.31%-4.43%

Expense Ratio

US small cap value etf comparisons has an expense ratio of 0.24%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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%
Expense ratio chart for RZV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for DFAS: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%
Expense ratio chart for DFSV: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%
Expense ratio chart for DFSVX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for IJS: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VTWV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VIOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SLYV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of US small cap value etf comparisons is 11, meaning it’s performing worse than 89% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of US small cap value etf comparisons is 1111
Overall Rank
The Sharpe Ratio Rank of US small cap value etf comparisons is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of US small cap value etf comparisons is 88
Sortino Ratio Rank
The Omega Ratio Rank of US small cap value etf comparisons is 88
Omega Ratio Rank
The Calmar Ratio Rank of US small cap value etf comparisons is 2020
Calmar Ratio Rank
The Martin Ratio Rank of US small cap value etf comparisons is 1010
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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 US small cap value etf comparisons, currently valued at 0.56, compared to the broader market-6.00-4.00-2.000.002.004.000.562.10
The chart of Sortino ratio for US small cap value etf comparisons, currently valued at 0.94, compared to the broader market-6.00-4.00-2.000.002.004.006.000.942.80
The chart of Omega ratio for US small cap value etf comparisons, currently valued at 1.11, compared to the broader market0.400.600.801.001.201.401.601.801.111.39
The chart of Calmar ratio for US small cap value etf comparisons, currently valued at 1.18, compared to the broader market0.002.004.006.008.0010.0012.001.183.09
The chart of Martin ratio for US small cap value etf comparisons, currently valued at 2.84, compared to the broader market0.0010.0020.0030.0040.0050.002.8413.49
US small cap value etf comparisons
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTWV
Vanguard Russell 2000 Value ETF
0.490.841.101.042.41
VBR
Vanguard Small-Cap Value ETF
0.891.341.171.614.60
VIOV
Vanguard S&P Small-Cap 600 Value ETF
0.510.871.101.072.20
SLYV
SPDR S&P 600 Small Cap Value ETF
0.510.871.101.072.20
IJS
iShares S&P SmallCap 600 Value ETF
0.490.841.101.022.15
RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.631.051.121.333.28
AVUV
Avantis U.S. Small Cap Value ETF
0.510.881.110.962.42
DFAS
Dimensional U.S. Small Cap ETF
0.651.041.131.333.47
DFSV
Dimensional US Small Cap Value ETF
0.410.741.090.841.98
DFSVX
DFA U.S. Small Cap Value Portfolio I
0.520.881.110.992.63
RZV
Invesco S&P SmallCap 600® Pure Value ETF
0.300.591.070.641.27

The current US small cap value etf comparisons Sharpe ratio is 0.55. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.26 to 2.07, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of US small cap value etf comparisons with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.56
2.10
US small cap value etf comparisons
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

US small cap value etf comparisons provided a 1.27% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.27%1.88%2.03%2.39%1.10%1.32%1.90%1.83%1.30%2.00%1.87%1.33%
VTWV
Vanguard Russell 2000 Value ETF
1.20%2.02%2.07%1.60%1.49%1.82%2.04%1.63%1.57%2.03%1.71%1.42%
VBR
Vanguard Small-Cap Value ETF
1.42%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
1.25%2.18%1.81%1.59%1.42%1.60%1.76%1.43%1.17%1.32%1.27%0.91%
SLYV
SPDR S&P 600 Small Cap Value ETF
1.50%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%1.58%
IJS
iShares S&P SmallCap 600 Value ETF
1.78%1.42%1.47%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.91%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.60%0.74%0.57%1.27%
AVUV
Avantis U.S. Small Cap Value ETF
1.62%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%
DFAS
Dimensional U.S. Small Cap ETF
0.65%1.00%1.03%3.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DFSV
Dimensional US Small Cap Value ETF
1.33%1.29%0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DFSVX
DFA U.S. Small Cap Value Portfolio I
1.10%3.67%6.77%10.40%1.96%2.83%7.54%5.62%4.53%5.83%4.53%5.09%
RZV
Invesco S&P SmallCap 600® Pure Value ETF
0.85%1.13%1.43%0.86%0.63%1.03%2.03%1.02%0.46%1.24%0.68%0.64%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.23%
-2.62%
US small cap value etf comparisons
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the US small cap value etf comparisons. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the US small cap value etf comparisons was 19.88%, occurring on Sep 30, 2022. Recovery took 84 trading sessions.

The current US small cap value etf comparisons drawdown is 8.64%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.88%Mar 30, 2022128Sep 30, 202284Feb 1, 2023212
-17.45%Feb 3, 2023185Oct 27, 202333Dec 14, 2023218
-9.44%Aug 1, 20243Aug 5, 202451Oct 16, 202454
-8.99%Nov 26, 202417Dec 19, 2024
-7.94%Apr 1, 202413Apr 17, 202460Jul 15, 202473

Volatility

Volatility Chart

The current US small cap value etf comparisons volatility is 5.80%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.80%
3.79%
US small cap value etf comparisons
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

RZVRWJAVUVDFASVTWVVBRDFSVXDFSVVIOVSLYVIJS
RZV1.000.970.950.930.940.940.950.960.970.970.97
RWJ0.971.000.960.960.960.950.960.960.970.970.97
AVUV0.950.961.000.960.960.970.990.990.960.960.96
DFAS0.930.960.961.000.970.980.980.970.970.970.97
VTWV0.940.960.960.971.000.970.970.970.980.980.98
VBR0.940.950.970.980.971.000.980.980.970.970.97
DFSVX0.950.960.990.980.970.981.000.990.970.970.97
DFSV0.960.960.990.970.970.980.991.000.970.970.97
VIOV0.970.970.960.970.980.970.970.971.001.001.00
SLYV0.970.970.960.970.980.970.970.971.001.001.00
IJS0.970.970.960.970.980.970.970.971.001.001.00
The correlation results are calculated based on daily price changes starting from Feb 25, 2022
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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