LGLV vs. SMLF
Compare and contrast key facts about SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF).
LGLV and SMLF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. LGLV is a passively managed fund by State Street that tracks the performance of the SSGA US Large Cap Low Volatility (TR). It was launched on Feb 20, 2013. SMLF is a passively managed fund by iShares that tracks the performance of the MSCI USA Small Cap Diversified Multi-Factor. It was launched on Apr 28, 2015. Both LGLV and SMLF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: LGLV or SMLF.
Key characteristics
| LGLV | SMLF | |
|---|---|---|
| YTD Return | 21.70% | 22.26% |
| 1Y Return | 28.03% | 37.56% |
| 3Y Return (Ann) | 8.51% | 7.54% |
| 5Y Return (Ann) | 11.44% | 12.77% |
| Sharpe Ratio | 3.39 | 2.39 |
| Sortino Ratio | 4.72 | 3.36 |
| Omega Ratio | 1.63 | 1.41 |
| Calmar Ratio | 5.84 | 3.99 |
| Martin Ratio | 20.92 | 14.98 |
| Ulcer Index | 1.45% | 2.94% |
| Daily Std Dev | 8.93% | 18.46% |
| Max Drawdown | -36.64% | -41.89% |
| Current Drawdown | -0.27% | -1.78% |
Correlation
The correlation between LGLV and SMLF is 0.68, 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
LGLV vs. SMLF - Performance Comparison
The year-to-date returns for both investments are quite close, with LGLV having a 21.70% return and SMLF slightly higher at 22.26%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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LGLV vs. SMLF - Expense Ratio Comparison
LGLV has a 0.12% expense ratio, which is lower than SMLF's 0.30% expense ratio.
Risk-Adjusted Performance
LGLV vs. SMLF - 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 iShares MSCI USA Small-Cap Multifactor ETF (SMLF). 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.
Dividends
LGLV vs. SMLF - Dividend Comparison
LGLV's dividend yield for the trailing twelve months is around 1.86%, more than SMLF's 0.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LGLV SPDR SSGA US Large Cap Low Volatility Index ETF | 1.86% | 2.03% | 1.95% | 1.65% | 1.98% | 1.89% | 2.09% | 4.39% | 2.54% | 2.97% | 7.14% | 2.99% |
SMLF iShares MSCI USA Small-Cap Multifactor ETF | 0.85% | 1.13% | 1.23% | 1.07% | 1.32% | 1.39% | 1.16% | 0.93% | 0.78% | 0.79% | 0.00% | 0.00% |
Drawdowns
LGLV vs. SMLF - Drawdown Comparison
The maximum LGLV drawdown since its inception was -36.64%, smaller than the maximum SMLF drawdown of -41.89%. Use the drawdown chart below to compare losses from any high point for LGLV and SMLF. For additional features, visit the drawdowns tool.
Volatility
LGLV vs. SMLF - Volatility Comparison
The current volatility for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) is 2.84%, while iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a volatility of 6.12%. This indicates that LGLV experiences smaller price fluctuations and is considered to be less risky than SMLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.