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GLOV vs. USMV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GLOV and USMV is 0.81, 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.


Performance

GLOV vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF (GLOV) and iShares Edge MSCI Min Vol USA ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

GLOV:

1.15

USMV:

1.04

Sortino Ratio

GLOV:

1.68

USMV:

1.52

Omega Ratio

GLOV:

1.25

USMV:

1.23

Calmar Ratio

GLOV:

1.62

USMV:

1.50

Martin Ratio

GLOV:

7.48

USMV:

5.71

Ulcer Index

GLOV:

2.15%

USMV:

2.46%

Daily Std Dev

GLOV:

13.57%

USMV:

12.96%

Max Drawdown

GLOV:

-17.77%

USMV:

-33.10%

Current Drawdown

GLOV:

-0.46%

USMV:

-2.24%

Returns By Period

In the year-to-date period, GLOV achieves a 6.45% return, which is significantly higher than USMV's 4.12% return.


GLOV

YTD

6.45%

1M

5.62%

6M

3.07%

1Y

15.49%

5Y*

N/A

10Y*

N/A

USMV

YTD

4.12%

1M

2.53%

6M

-0.63%

1Y

13.33%

5Y*

11.07%

10Y*

10.44%

*Annualized

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GLOV vs. USMV - Expense Ratio Comparison

GLOV has a 0.25% expense ratio, which is higher than USMV's 0.15% 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%.


Risk-Adjusted Performance

GLOV vs. USMV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GLOV
The Risk-Adjusted Performance Rank of GLOV is 8888
Overall Rank
The Sharpe Ratio Rank of GLOV is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of GLOV is 8686
Sortino Ratio Rank
The Omega Ratio Rank of GLOV is 8787
Omega Ratio Rank
The Calmar Ratio Rank of GLOV is 9191
Calmar Ratio Rank
The Martin Ratio Rank of GLOV is 9191
Martin Ratio Rank

USMV
The Risk-Adjusted Performance Rank of USMV is 8686
Overall Rank
The Sharpe Ratio Rank of USMV is 8383
Sharpe Ratio Rank
The Sortino Ratio Rank of USMV is 8383
Sortino Ratio Rank
The Omega Ratio Rank of USMV is 8686
Omega Ratio Rank
The Calmar Ratio Rank of USMV is 9090
Calmar Ratio Rank
The Martin Ratio Rank of USMV is 8787
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.

GLOV vs. USMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF (GLOV) and iShares Edge MSCI Min Vol USA ETF (USMV). 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.


The current GLOV Sharpe Ratio is 1.15, which is comparable to the USMV Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of GLOV and USMV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

GLOV vs. USMV - Dividend Comparison

GLOV's dividend yield for the trailing twelve months is around 1.68%, more than USMV's 1.58% yield.


TTM20242023202220212020201920182017201620152014
GLOV
Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF
1.68%1.75%2.06%1.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USMV
iShares Edge MSCI Min Vol USA ETF
1.58%1.67%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%

Drawdowns

GLOV vs. USMV - Drawdown Comparison

The maximum GLOV drawdown since its inception was -17.77%, smaller than the maximum USMV drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for GLOV and USMV. For additional features, visit the drawdowns tool.


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Volatility

GLOV vs. USMV - Volatility Comparison


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