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ISCV vs. SPSM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ISCVSPSM
YTD Return-2.56%-3.15%
1Y Return13.18%10.37%
3Y Return (Ann)2.64%0.22%
5Y Return (Ann)6.10%7.13%
10Y Return (Ann)6.10%8.12%
Sharpe Ratio0.730.58
Daily Std Dev19.76%19.54%
Max Drawdown-63.14%-42.89%
Current Drawdown-6.13%-9.63%

Correlation

0.93
-1.001.00

The correlation between ISCV and SPSM is 0.93, 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

ISCV vs. SPSM - Performance Comparison

In the year-to-date period, ISCV achieves a -2.56% return, which is significantly higher than SPSM's -3.15% return. Over the past 10 years, ISCV has underperformed SPSM with an annualized return of 6.10%, while SPSM has yielded a comparatively higher 8.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
16.20%
15.36%
ISCV
SPSM

Compare stocks, funds, or ETFs


iShares Morningstar Small Cap Value ETF

SPDR Portfolio S&P 600 Small Cap ETF

ISCV vs. SPSM - Expense Ratio Comparison

ISCV has a 0.06% expense ratio, which is higher than SPSM's 0.05% expense ratio.

ISCV
iShares Morningstar Small Cap Value ETF
0.50%1.00%1.50%2.00%0.06%
0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

ISCV vs. SPSM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Morningstar Small Cap Value ETF (ISCV) and SPDR Portfolio S&P 600 Small Cap ETF (SPSM). 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.


ISCV
Sharpe ratio
The Sharpe ratio of ISCV compared to the broader market0.002.004.000.73
Sortino ratio
The Sortino ratio of ISCV compared to the broader market-2.000.002.004.006.008.0010.001.21
Omega ratio
The Omega ratio of ISCV compared to the broader market1.001.502.002.501.13
Calmar ratio
The Calmar ratio of ISCV compared to the broader market0.002.004.006.008.0010.0012.000.73
Martin ratio
The Martin ratio of ISCV compared to the broader market0.0020.0040.0060.0080.002.31
SPSM
Sharpe ratio
The Sharpe ratio of SPSM compared to the broader market0.002.004.000.58
Sortino ratio
The Sortino ratio of SPSM compared to the broader market-2.000.002.004.006.008.0010.001.01
Omega ratio
The Omega ratio of SPSM compared to the broader market1.001.502.002.501.11
Calmar ratio
The Calmar ratio of SPSM compared to the broader market0.002.004.006.008.0010.0012.000.46
Martin ratio
The Martin ratio of SPSM compared to the broader market0.0020.0040.0060.0080.001.85

ISCV vs. SPSM - Sharpe Ratio Comparison

The current ISCV Sharpe Ratio is 0.73, which roughly equals the SPSM Sharpe Ratio of 0.58. The chart below compares the 12-month rolling Sharpe Ratio of ISCV and SPSM.


Rolling 12-month Sharpe Ratio0.000.501.00NovemberDecember2024FebruaryMarchApril
0.73
0.58
ISCV
SPSM

Dividends

ISCV vs. SPSM - Dividend Comparison

ISCV's dividend yield for the trailing twelve months is around 2.21%, more than SPSM's 1.69% yield.


TTM20232022202120202019201820172016201520142013
ISCV
iShares Morningstar Small Cap Value ETF
2.21%2.21%2.12%1.95%2.01%2.36%2.48%1.74%2.49%2.60%2.40%1.81%
SPSM
SPDR Portfolio S&P 600 Small Cap ETF
1.69%1.61%1.38%1.40%1.17%1.58%1.82%1.51%1.49%2.37%1.70%0.68%

Drawdowns

ISCV vs. SPSM - Drawdown Comparison

The maximum ISCV drawdown since its inception was -63.14%, which is greater than SPSM's maximum drawdown of -42.89%. The drawdown chart below compares losses from any high point along the way for ISCV and SPSM


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-6.13%
-9.63%
ISCV
SPSM

Volatility

ISCV vs. SPSM - Volatility Comparison

iShares Morningstar Small Cap Value ETF (ISCV) and SPDR Portfolio S&P 600 Small Cap ETF (SPSM) have volatilities of 5.92% and 5.81%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2024FebruaryMarchApril
5.92%
5.81%
ISCV
SPSM