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ISVL vs. SCZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ISVLSCZ
YTD Return1.97%-0.39%
1Y Return10.86%4.72%
3Y Return (Ann)2.42%-3.64%
Sharpe Ratio0.920.47
Daily Std Dev13.78%13.70%
Max Drawdown-30.48%-61.86%
Current Drawdown-2.83%-16.46%

Correlation

0.97
-1.001.00

The correlation between ISVL and SCZ is 0.97, 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

ISVL vs. SCZ - Performance Comparison

In the year-to-date period, ISVL achieves a 1.97% return, which is significantly higher than SCZ's -0.39% 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
18.04%
14.41%
ISVL
SCZ

Compare stocks, funds, or ETFs


iShares International Developed Small Cap Value Factor ETF

iShares MSCI EAFE Small-Cap ETF

ISVL vs. SCZ - Expense Ratio Comparison

ISVL has a 0.30% expense ratio, which is lower than SCZ's 0.40% expense ratio.

SCZ
iShares MSCI EAFE Small-Cap ETF
0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

ISVL vs. SCZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares International Developed Small Cap Value Factor ETF (ISVL) and iShares MSCI EAFE Small-Cap ETF (SCZ). 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.


ISVL
Sharpe ratio
The Sharpe ratio of ISVL compared to the broader market0.002.004.000.92
Sortino ratio
The Sortino ratio of ISVL compared to the broader market-2.000.002.004.006.008.0010.001.42
Omega ratio
The Omega ratio of ISVL compared to the broader market1.001.502.002.501.17
Calmar ratio
The Calmar ratio of ISVL compared to the broader market0.002.004.006.008.0010.0012.000.69
Martin ratio
The Martin ratio of ISVL compared to the broader market0.0020.0040.0060.0080.002.88
SCZ
Sharpe ratio
The Sharpe ratio of SCZ compared to the broader market0.002.004.000.47
Sortino ratio
The Sortino ratio of SCZ compared to the broader market-2.000.002.004.006.008.0010.000.77
Omega ratio
The Omega ratio of SCZ compared to the broader market1.001.502.002.501.09
Calmar ratio
The Calmar ratio of SCZ compared to the broader market0.002.004.006.008.0010.0012.000.21
Martin ratio
The Martin ratio of SCZ compared to the broader market0.0020.0040.0060.0080.001.24

ISVL vs. SCZ - Sharpe Ratio Comparison

The current ISVL Sharpe Ratio is 0.92, which is higher than the SCZ Sharpe Ratio of 0.47. The chart below compares the 12-month rolling Sharpe Ratio of ISVL and SCZ.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.92
0.47
ISVL
SCZ

Dividends

ISVL vs. SCZ - Dividend Comparison

ISVL's dividend yield for the trailing twelve months is around 3.75%, more than SCZ's 2.97% yield.


TTM20232022202120202019201820172016201520142013
ISVL
iShares International Developed Small Cap Value Factor ETF
3.75%3.82%3.37%2.82%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCZ
iShares MSCI EAFE Small-Cap ETF
2.97%2.96%1.99%2.96%1.52%3.51%2.79%2.38%2.82%2.06%2.61%2.39%

Drawdowns

ISVL vs. SCZ - Drawdown Comparison

The maximum ISVL drawdown since its inception was -30.48%, smaller than the maximum SCZ drawdown of -61.86%. The drawdown chart below compares losses from any high point along the way for ISVL and SCZ


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.83%
-16.46%
ISVL
SCZ

Volatility

ISVL vs. SCZ - Volatility Comparison

iShares International Developed Small Cap Value Factor ETF (ISVL) and iShares MSCI EAFE Small-Cap ETF (SCZ) have volatilities of 3.20% and 3.28%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%NovemberDecember2024FebruaryMarchApril
3.20%
3.28%
ISVL
SCZ