LGLV vs. VRVIX
LGLV (SPDR SSGA US Large Cap Low Volatility Index ETF) and VRVIX (Vanguard Russell 1000 Value Index Fund Institutional Shares) are both funds - LGLV is a Volatility Hedged Equity fund tracking the SSGA US Large Cap Low Volatility (TR), while VRVIX is a Large Cap Value Equities fund managed by Vanguard. Over the past 10 years, LGLV returned 11.00%/yr vs 11.31%/yr for VRVIX. Their correlation of 0.80 suggests significant overlap in exposure. LGLV charges 0.12%/yr vs 0.07%/yr for VRVIX.
Performance
LGLV vs. VRVIX - Performance Comparison
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Returns By Period
In the year-to-date period, LGLV achieves a 0.83% return, which is significantly lower than VRVIX's 14.28% return. Both investments have delivered pretty close results over the past 10 years, with LGLV having a 11.00% annualized return and VRVIX not far ahead at 11.31%.
LGLV
- 1D
- -0.06%
- 1M
- -1.79%
- YTD
- 0.83%
- 6M
- 1.07%
- 1Y
- 2.87%
- 3Y*
- 11.07%
- 5Y*
- 7.70%
- 10Y*
- 11.00%
VRVIX
- 1D
- 0.79%
- 1M
- 4.27%
- YTD
- 14.28%
- 6M
- 14.88%
- 1Y
- 28.30%
- 3Y*
- 18.37%
- 5Y*
- 10.30%
- 10Y*
- 11.31%
LGLV vs. VRVIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LGLV SPDR SSGA US Large Cap Low Volatility Index ETF | 0.83% | 8.37% | 16.22% | 9.19% | -8.17% | 27.95% | 7.42% | 30.83% | 0.32% | 17.84% |
VRVIX Vanguard Russell 1000 Value Index Fund Institutional Shares | 14.28% | 15.31% | 14.32% | 11.41% | -7.64% | 25.09% | 2.75% | 26.49% | -8.30% | 13.58% |
Correlation
The correlation between LGLV and VRVIX is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Feb 22, 2013 | 0.80 |
The correlation between LGLV and VRVIX shifts across timeframes, from 0.76 (1 year) to 0.87 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
LGLV vs. VRVIX — Risk / Return Rank
LGLV
VRVIX
LGLV vs. VRVIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) and Vanguard Russell 1000 Value Index Fund Institutional Shares (VRVIX). 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.
| LGLV | VRVIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.38 | ||
| Sortino ratioReturn per unit of downside risk | -3.29 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.49 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | 0.42 | 4.29 | -3.87 |
| Martin ratioReturn relative to average drawdown | 1.08 | 17.97 | -16.90 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| LGLV | VRVIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.31 | 2.70 | -2.38 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 0.70 | -0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.69 | 0.65 | +0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.76 | 0.71 | +0.06 |
Drawdowns
LGLV vs. VRVIX - Drawdown Comparison
The maximum LGLV drawdown since its inception was -36.64%, roughly equal to the maximum VRVIX drawdown of -38.29%. Use the drawdown chart below to compare losses from any high point for LGLV and VRVIX.
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Drawdown Indicators
| LGLV | VRVIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.64% | -38.29% | +1.65% |
Max Drawdown (1Y)Largest decline over 1 year | -6.86% | -6.80% | -0.06% |
Max Drawdown (3Y)Largest decline over 3 years | -10.17% | -16.00% | +5.83% |
Max Drawdown (5Y)Largest decline over 5 years | -17.49% | -19.06% | +1.57% |
Max Drawdown (10Y)Largest decline over 10 years | -36.64% | -38.29% | +1.65% |
Current DrawdownCurrent decline from peak | -6.60% | 0.00% | -6.60% |
Average DrawdownAverage peak-to-trough decline | -3.21% | -3.92% | +0.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.67% | 1.62% | +1.05% |
Volatility
LGLV vs. VRVIX - Volatility Comparison
The current volatility for SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) is 2.42%, while Vanguard Russell 1000 Value Index Fund Institutional Shares (VRVIX) has a volatility of 3.06%. This indicates that LGLV experiences smaller price fluctuations and is considered to be less risky than VRVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LGLV | VRVIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.42% | 3.06% | -0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 6.52% | 8.18% | -1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.20% | 10.82% | -1.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.91% | 14.84% | -1.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.06% | 17.35% | -1.29% |
LGLV vs. VRVIX - Expense Ratio Comparison
LGLV has a 0.12% expense ratio, which is higher than VRVIX's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
LGLV vs. VRVIX - Dividend Comparison
LGLV's dividend yield for the trailing twelve months is around 2.04%, more than VRVIX's 1.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LGLV SPDR SSGA US Large Cap Low Volatility Index ETF | 2.04% | 1.94% | 1.93% | 2.03% | 1.95% | 1.65% | 1.98% | 1.89% | 2.09% | 4.39% | 2.54% | 2.97% |
VRVIX Vanguard Russell 1000 Value Index Fund Institutional Shares | 1.64% | 1.41% | 1.98% | 2.10% | 2.24% | 1.69% | 2.25% | 2.30% | 2.60% | 2.21% | 2.43% | 2.42% |
Frequently Asked Questions
LGLV and VRVIX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VRVIX has higher volatility (3.06%) compared to LGLV (2.42%). In terms of maximum drawdown, LGLV dropped -36.64% vs VRVIX's -38.29%.
VRVIX currently has the higher Sharpe Ratio (2.70 vs 0.31), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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