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DEEP vs. XSVM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DEEP and XSVM 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.


-0.50.00.51.00.8

Performance

DEEP vs. XSVM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Roundhill Acquirers Deep Value ETF (DEEP) and Invesco S&P SmallCap Value with Momentum ETF (XSVM). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
3.53%
6.01%
DEEP
XSVM

Key characteristics

Sharpe Ratio

DEEP:

-0.14

XSVM:

0.10

Sortino Ratio

DEEP:

-0.06

XSVM:

0.32

Omega Ratio

DEEP:

0.99

XSVM:

1.04

Calmar Ratio

DEEP:

-0.24

XSVM:

0.19

Martin Ratio

DEEP:

-0.46

XSVM:

0.40

Ulcer Index

DEEP:

5.87%

XSVM:

5.69%

Daily Std Dev

DEEP:

19.74%

XSVM:

21.72%

Max Drawdown

DEEP:

-51.92%

XSVM:

-62.57%

Current Drawdown

DEEP:

-8.58%

XSVM:

-9.85%

Returns By Period

In the year-to-date period, DEEP achieves a -2.98% return, which is significantly lower than XSVM's 2.25% return. Over the past 10 years, DEEP has underperformed XSVM with an annualized return of 6.09%, while XSVM has yielded a comparatively higher 9.76% annualized return.


DEEP

YTD

-2.98%

1M

-5.60%

6M

3.53%

1Y

-2.71%

5Y*

3.53%

10Y*

6.09%

XSVM

YTD

2.25%

1M

-8.19%

6M

4.93%

1Y

1.85%

5Y*

11.80%

10Y*

9.76%

Compare stocks, funds, or ETFs

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


DEEP vs. XSVM - Expense Ratio Comparison

DEEP has a 0.80% expense ratio, which is higher than XSVM's 0.39% expense ratio.


DEEP
Roundhill Acquirers Deep Value ETF
Expense ratio chart for DEEP: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for XSVM: 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%

Risk-Adjusted Performance

DEEP vs. XSVM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Roundhill Acquirers Deep Value ETF (DEEP) and Invesco S&P SmallCap Value with Momentum ETF (XSVM). 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 DEEP, currently valued at -0.14, compared to the broader market0.002.004.00-0.140.09
The chart of Sortino ratio for DEEP, currently valued at -0.06, compared to the broader market-2.000.002.004.006.008.0010.00-0.060.29
The chart of Omega ratio for DEEP, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.000.991.03
The chart of Calmar ratio for DEEP, currently valued at -0.24, compared to the broader market0.005.0010.0015.00-0.240.15
The chart of Martin ratio for DEEP, currently valued at -0.46, compared to the broader market0.0020.0040.0060.0080.00100.00-0.460.32
DEEP
XSVM

The current DEEP Sharpe Ratio is -0.14, which is lower than the XSVM Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of DEEP and XSVM, 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 Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.14
0.09
DEEP
XSVM

Dividends

DEEP vs. XSVM - Dividend Comparison

DEEP's dividend yield for the trailing twelve months is around 1.59%, less than XSVM's 1.69% yield.


TTM20232022202120202019201820172016201520142013
DEEP
Roundhill Acquirers Deep Value ETF
1.59%1.67%1.28%1.43%4.03%3.49%2.78%2.01%3.14%3.98%0.42%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF
1.69%1.31%1.79%1.23%1.21%1.22%2.54%1.90%2.29%2.68%1.32%1.15%

Drawdowns

DEEP vs. XSVM - Drawdown Comparison

The maximum DEEP drawdown since its inception was -51.92%, smaller than the maximum XSVM drawdown of -62.57%. Use the drawdown chart below to compare losses from any high point for DEEP and XSVM. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.58%
-9.85%
DEEP
XSVM

Volatility

DEEP vs. XSVM - Volatility Comparison

Roundhill Acquirers Deep Value ETF (DEEP) has a higher volatility of 5.67% compared to Invesco S&P SmallCap Value with Momentum ETF (XSVM) at 5.24%. This indicates that DEEP's price experiences larger fluctuations and is considered to be riskier than XSVM 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%JulyAugustSeptemberOctoberNovemberDecember
5.67%
5.24%
DEEP
XSVM
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Disclaimer

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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