LGLV vs. SMLV
Compare and contrast key facts about SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) and SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV).
LGLV and SMLV 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. SMLV is a passively managed fund by State Street that tracks the performance of the SSGA US Small Cap Low Volatility Index. It was launched on Feb 20, 2013. Both LGLV and SMLV 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 SMLV.
Key characteristics
| LGLV | SMLV | |
|---|---|---|
| YTD Return | 22.03% | 26.65% |
| 1Y Return | 30.50% | 47.33% |
| 3Y Return (Ann) | 8.63% | 7.79% |
| 5Y Return (Ann) | 11.62% | 10.23% |
| 10Y Return (Ann) | 11.95% | 9.84% |
| Sharpe Ratio | 3.54 | 2.25 |
| Sortino Ratio | 4.92 | 3.43 |
| Omega Ratio | 1.66 | 1.43 |
| Calmar Ratio | 5.00 | 3.10 |
| Martin Ratio | 21.95 | 11.96 |
| Ulcer Index | 1.45% | 4.05% |
| Daily Std Dev | 8.94% | 21.56% |
| Max Drawdown | -36.64% | -42.45% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between LGLV and SMLV is 0.69, 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. SMLV - Performance Comparison
In the year-to-date period, LGLV achieves a 22.03% return, which is significantly lower than SMLV's 26.65% return. Over the past 10 years, LGLV has outperformed SMLV with an annualized return of 11.95%, while SMLV has yielded a comparatively lower 9.84% annualized return. 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. SMLV - Expense Ratio Comparison
Both LGLV and SMLV have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
LGLV vs. SMLV - 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 SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV). 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. SMLV - Dividend Comparison
LGLV's dividend yield for the trailing twelve months is around 1.86%, less than SMLV's 2.30% 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% |
SMLV SPDR SSGA US Small Cap Low Volatility Index ETF | 2.30% | 2.68% | 2.40% | 2.12% | 2.47% | 2.62% | 3.15% | 7.92% | 3.04% | 2.63% | 2.76% | 3.68% |
Drawdowns
LGLV vs. SMLV - Drawdown Comparison
The maximum LGLV drawdown since its inception was -36.64%, smaller than the maximum SMLV drawdown of -42.45%. Use the drawdown chart below to compare losses from any high point for LGLV and SMLV. For additional features, visit the drawdowns tool.
Volatility
LGLV vs. SMLV - Volatility Comparison
The current volatility for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) is 2.88%, while SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) has a volatility of 10.64%. This indicates that LGLV experiences smaller price fluctuations and is considered to be less risky than SMLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.