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LGLV vs. PSCC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LGLV and PSCC is 0.54, 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.


-0.50.00.51.00.5

Performance

LGLV vs. PSCC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) and Invesco S&P SmallCap Consumer Staples ETF (PSCC). The values are adjusted to include any dividend payments, if applicable.

220.00%240.00%260.00%280.00%300.00%320.00%JulyAugustSeptemberOctoberNovemberDecember
289.65%
270.36%
LGLV
PSCC

Key characteristics

Sharpe Ratio

LGLV:

1.86

PSCC:

0.23

Sortino Ratio

LGLV:

2.56

PSCC:

0.42

Omega Ratio

LGLV:

1.33

PSCC:

1.05

Calmar Ratio

LGLV:

2.50

PSCC:

0.37

Martin Ratio

LGLV:

10.34

PSCC:

0.77

Ulcer Index

LGLV:

1.64%

PSCC:

4.81%

Daily Std Dev

LGLV:

9.12%

PSCC:

16.46%

Max Drawdown

LGLV:

-36.64%

PSCC:

-33.61%

Current Drawdown

LGLV:

-6.79%

PSCC:

-5.09%

Returns By Period

In the year-to-date period, LGLV achieves a 15.81% return, which is significantly higher than PSCC's 2.53% return. Over the past 10 years, LGLV has outperformed PSCC with an annualized return of 11.10%, while PSCC has yielded a comparatively lower 9.52% annualized return.


LGLV

YTD

15.81%

1M

-3.92%

6M

8.65%

1Y

16.65%

5Y*

9.82%

10Y*

11.10%

PSCC

YTD

2.53%

1M

1.95%

6M

11.20%

1Y

1.73%

5Y*

9.53%

10Y*

9.52%

Compare stocks, funds, or ETFs

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


LGLV vs. PSCC - Expense Ratio Comparison

LGLV has a 0.12% expense ratio, which is lower than PSCC's 0.29% expense ratio.


PSCC
Invesco S&P SmallCap Consumer Staples ETF
Expense ratio chart for PSCC: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for LGLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

LGLV vs. PSCC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) and Invesco S&P SmallCap Consumer Staples ETF (PSCC). 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 LGLV, currently valued at 1.86, compared to the broader market0.002.004.001.860.23
The chart of Sortino ratio for LGLV, currently valued at 2.56, compared to the broader market-2.000.002.004.006.008.0010.002.560.42
The chart of Omega ratio for LGLV, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.05
The chart of Calmar ratio for LGLV, currently valued at 2.50, compared to the broader market0.005.0010.0015.002.500.37
The chart of Martin ratio for LGLV, currently valued at 10.34, compared to the broader market0.0020.0040.0060.0080.00100.0010.340.77
LGLV
PSCC

The current LGLV Sharpe Ratio is 1.86, which is higher than the PSCC Sharpe Ratio of 0.23. The chart below compares the historical Sharpe Ratios of LGLV and PSCC, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.86
0.23
LGLV
PSCC

Dividends

LGLV vs. PSCC - Dividend Comparison

LGLV's dividend yield for the trailing twelve months is around 1.34%, less than PSCC's 1.49% yield.


TTM20232022202120202019201820172016201520142013
LGLV
SPDR SSGA US Large Cap Low Volatility Index ETF
1.34%2.03%1.95%1.65%1.98%1.89%2.09%4.39%2.54%2.97%7.14%2.99%
PSCC
Invesco S&P SmallCap Consumer Staples ETF
1.49%1.49%1.29%1.21%1.59%1.77%0.94%1.25%1.48%1.34%1.60%0.42%

Drawdowns

LGLV vs. PSCC - Drawdown Comparison

The maximum LGLV drawdown since its inception was -36.64%, which is greater than PSCC's maximum drawdown of -33.61%. Use the drawdown chart below to compare losses from any high point for LGLV and PSCC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.79%
-5.09%
LGLV
PSCC

Volatility

LGLV vs. PSCC - Volatility Comparison

The current volatility for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) is 3.08%, while Invesco S&P SmallCap Consumer Staples ETF (PSCC) has a volatility of 5.22%. This indicates that LGLV experiences smaller price fluctuations and is considered to be less risky than PSCC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.08%
5.22%
LGLV
PSCC
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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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