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

Correlation

The correlation between ISVL and VUG is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

ISVL vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares International Developed Small Cap Value Factor ETF (ISVL) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
12.10%
67.60%
ISVL
VUG

Key characteristics

Sharpe Ratio

ISVL:

0.46

VUG:

1.95

Sortino Ratio

ISVL:

0.70

VUG:

2.55

Omega Ratio

ISVL:

1.09

VUG:

1.36

Calmar Ratio

ISVL:

0.62

VUG:

2.60

Martin Ratio

ISVL:

1.92

VUG:

10.22

Ulcer Index

ISVL:

3.26%

VUG:

3.30%

Daily Std Dev

ISVL:

13.57%

VUG:

17.30%

Max Drawdown

ISVL:

-30.48%

VUG:

-50.68%

Current Drawdown

ISVL:

-10.03%

VUG:

-3.63%

Returns By Period

In the year-to-date period, ISVL achieves a 2.59% return, which is significantly lower than VUG's 33.21% return.


ISVL

YTD

2.59%

1M

-3.12%

6M

-1.94%

1Y

5.02%

5Y*

N/A

10Y*

N/A

VUG

YTD

33.21%

1M

3.24%

6M

9.92%

1Y

32.99%

5Y*

18.66%

10Y*

15.76%

Compare stocks, funds, or ETFs

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ISVL vs. VUG - Expense Ratio Comparison

ISVL has a 0.30% expense ratio, which is higher than VUG's 0.04% expense ratio.


ISVL
iShares International Developed Small Cap Value Factor ETF
Expense ratio chart for ISVL: 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%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

ISVL vs. VUG - 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 Vanguard Growth ETF (VUG). 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 ISVL, currently valued at 0.46, compared to the broader market0.002.004.000.461.95
The chart of Sortino ratio for ISVL, currently valued at 0.70, compared to the broader market-2.000.002.004.006.008.0010.000.702.55
The chart of Omega ratio for ISVL, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.36
The chart of Calmar ratio for ISVL, currently valued at 0.62, compared to the broader market0.005.0010.0015.000.622.60
The chart of Martin ratio for ISVL, currently valued at 1.92, compared to the broader market0.0020.0040.0060.0080.00100.001.9210.22
ISVL
VUG

The current ISVL Sharpe Ratio is 0.46, which is lower than the VUG Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of ISVL and VUG, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.46
1.95
ISVL
VUG

Dividends

ISVL vs. VUG - Dividend Comparison

ISVL's dividend yield for the trailing twelve months is around 5.86%, more than VUG's 0.48% yield.


TTM20232022202120202019201820172016201520142013
ISVL
iShares International Developed Small Cap Value Factor ETF
5.86%3.82%3.37%2.82%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VUG
Vanguard Growth ETF
0.48%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

ISVL vs. VUG - Drawdown Comparison

The maximum ISVL drawdown since its inception was -30.48%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for ISVL and VUG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.03%
-3.63%
ISVL
VUG

Volatility

ISVL vs. VUG - Volatility Comparison

The current volatility for iShares International Developed Small Cap Value Factor ETF (ISVL) is 3.31%, while Vanguard Growth ETF (VUG) has a volatility of 4.86%. This indicates that ISVL experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
3.31%
4.86%
ISVL
VUG
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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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