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

Correlation

The correlation between DIV and SPHD is 0.85, 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.


-0.50.00.51.00.9

Performance

DIV vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X SuperDividend U.S. ETF (DIV) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
57.33%
189.26%
DIV
SPHD

Key characteristics

Sharpe Ratio

DIV:

1.10

SPHD:

1.79

Sortino Ratio

DIV:

1.57

SPHD:

2.56

Omega Ratio

DIV:

1.20

SPHD:

1.32

Calmar Ratio

DIV:

0.87

SPHD:

2.02

Martin Ratio

DIV:

6.40

SPHD:

10.16

Ulcer Index

DIV:

1.98%

SPHD:

1.97%

Daily Std Dev

DIV:

11.52%

SPHD:

11.19%

Max Drawdown

DIV:

-52.74%

SPHD:

-41.39%

Current Drawdown

DIV:

-6.46%

SPHD:

-6.38%

Returns By Period

In the year-to-date period, DIV achieves a 11.51% return, which is significantly lower than SPHD's 18.08% return. Over the past 10 years, DIV has underperformed SPHD with an annualized return of 2.07%, while SPHD has yielded a comparatively higher 8.08% annualized return.


DIV

YTD

11.51%

1M

-3.93%

6M

9.58%

1Y

11.28%

5Y*

1.20%

10Y*

2.07%

SPHD

YTD

18.08%

1M

-4.76%

6M

10.47%

1Y

18.61%

5Y*

6.33%

10Y*

8.08%

Compare stocks, funds, or ETFs

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


DIV vs. SPHD - Expense Ratio Comparison

DIV has a 0.45% expense ratio, which is higher than SPHD's 0.30% expense ratio.


DIV
Global X SuperDividend U.S. ETF
Expense ratio chart for DIV: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for SPHD: 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%

Risk-Adjusted Performance

DIV vs. SPHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X SuperDividend U.S. ETF (DIV) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 DIV, currently valued at 1.10, compared to the broader market0.002.004.001.101.79
The chart of Sortino ratio for DIV, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.001.572.56
The chart of Omega ratio for DIV, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.32
The chart of Calmar ratio for DIV, currently valued at 0.87, compared to the broader market0.005.0010.0015.000.872.02
The chart of Martin ratio for DIV, currently valued at 6.40, compared to the broader market0.0020.0040.0060.0080.00100.006.4010.16
DIV
SPHD

The current DIV Sharpe Ratio is 1.10, which is lower than the SPHD Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of DIV and SPHD, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.10
1.79
DIV
SPHD

Dividends

DIV vs. SPHD - Dividend Comparison

DIV's dividend yield for the trailing twelve months is around 5.86%, more than SPHD's 3.11% yield.


TTM20232022202120202019201820172016201520142013
DIV
Global X SuperDividend U.S. ETF
5.86%7.14%6.62%5.26%8.04%7.67%7.09%5.95%6.80%8.40%5.34%5.38%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
3.11%4.48%3.89%3.46%4.89%4.07%4.40%3.14%3.83%3.49%3.24%3.68%

Drawdowns

DIV vs. SPHD - Drawdown Comparison

The maximum DIV drawdown since its inception was -52.74%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for DIV and SPHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.46%
-6.38%
DIV
SPHD

Volatility

DIV vs. SPHD - Volatility Comparison

Global X SuperDividend U.S. ETF (DIV) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) have volatilities of 3.80% and 3.85%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.80%
3.85%
DIV
SPHD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab