PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ISVL vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ISVLVUG
YTD Return1.12%4.88%
1Y Return10.23%31.81%
3Y Return (Ann)1.69%6.32%
Sharpe Ratio0.772.05
Daily Std Dev13.77%15.64%
Max Drawdown-30.48%-50.68%
Current Drawdown-3.64%-5.97%

Correlation

-0.50.00.51.00.7

The correlation between ISVL and VUG is 0.66, 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.

Performance

ISVL vs. VUG - Performance Comparison

In the year-to-date period, ISVL achieves a 1.12% return, which is significantly lower than VUG's 4.88% 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%25.00%30.00%NovemberDecember2024FebruaryMarchApril
19.76%
20.71%
ISVL
VUG

Compare stocks, funds, or ETFs

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


iShares International Developed Small Cap Value Factor ETF

Vanguard Growth ETF

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.


ISVL
Sharpe ratio
The chart of Sharpe ratio for ISVL, currently valued at 0.77, compared to the broader market-1.000.001.002.003.004.000.77
Sortino ratio
The chart of Sortino ratio for ISVL, currently valued at 1.21, compared to the broader market-2.000.002.004.006.008.001.21
Omega ratio
The chart of Omega ratio for ISVL, currently valued at 1.14, compared to the broader market1.001.502.001.14
Calmar ratio
The chart of Calmar ratio for ISVL, currently valued at 0.58, compared to the broader market0.002.004.006.008.0010.000.58
Martin ratio
The chart of Martin ratio for ISVL, currently valued at 2.38, compared to the broader market0.0010.0020.0030.0040.0050.0060.002.38
VUG
Sharpe ratio
The chart of Sharpe ratio for VUG, currently valued at 2.05, compared to the broader market-1.000.001.002.003.004.002.05
Sortino ratio
The chart of Sortino ratio for VUG, currently valued at 2.85, compared to the broader market-2.000.002.004.006.008.002.85
Omega ratio
The chart of Omega ratio for VUG, currently valued at 1.36, compared to the broader market1.001.502.001.36
Calmar ratio
The chart of Calmar ratio for VUG, currently valued at 1.30, compared to the broader market0.002.004.006.008.0010.001.30
Martin ratio
The chart of Martin ratio for VUG, currently valued at 10.36, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.36

ISVL vs. VUG - Sharpe Ratio Comparison

The current ISVL Sharpe Ratio is 0.77, which is lower than the VUG Sharpe Ratio of 2.05. The chart below compares the 12-month rolling Sharpe Ratio of ISVL and VUG.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50NovemberDecember2024FebruaryMarchApril
0.77
2.05
ISVL
VUG

Dividends

ISVL vs. VUG - Dividend Comparison

ISVL's dividend yield for the trailing twelve months is around 3.78%, more than VUG's 0.57% yield.


TTM20232022202120202019201820172016201520142013
ISVL
iShares International Developed Small Cap Value Factor ETF
3.78%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
0.57%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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.64%
-5.97%
ISVL
VUG

Volatility

ISVL vs. VUG - Volatility Comparison

The current volatility for iShares International Developed Small Cap Value Factor ETF (ISVL) is 3.19%, while Vanguard Growth ETF (VUG) has a volatility of 4.45%. 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%NovemberDecember2024FebruaryMarchApril
3.19%
4.45%
ISVL
VUG