PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
LVHI vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LVHI and SPY is 0.58, 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.


-0.50.00.51.00.6

Performance

LVHI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Legg Mason International Low Volatility High Dividend ETF (LVHI) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
94.52%
213.71%
LVHI
SPY

Key characteristics

Sharpe Ratio

LVHI:

1.69

SPY:

2.21

Sortino Ratio

LVHI:

2.23

SPY:

2.93

Omega Ratio

LVHI:

1.31

SPY:

1.41

Calmar Ratio

LVHI:

2.47

SPY:

3.26

Martin Ratio

LVHI:

11.46

SPY:

14.43

Ulcer Index

LVHI:

1.38%

SPY:

1.90%

Daily Std Dev

LVHI:

9.32%

SPY:

12.41%

Max Drawdown

LVHI:

-32.31%

SPY:

-55.19%

Current Drawdown

LVHI:

-2.67%

SPY:

-2.74%

Returns By Period

In the year-to-date period, LVHI achieves a 13.90% return, which is significantly lower than SPY's 25.54% return.


LVHI

YTD

13.90%

1M

-1.45%

6M

4.84%

1Y

14.61%

5Y*

8.28%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


LVHI vs. SPY - Expense Ratio Comparison

LVHI has a 0.40% expense ratio, which is higher than SPY's 0.09% expense ratio.


LVHI
Legg Mason International Low Volatility High Dividend ETF
Expense ratio chart for LVHI: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

LVHI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Legg Mason International Low Volatility High Dividend ETF (LVHI) and SPDR S&P 500 ETF (SPY). 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 LVHI, currently valued at 1.69, compared to the broader market0.002.004.001.692.21
The chart of Sortino ratio for LVHI, currently valued at 2.23, compared to the broader market-2.000.002.004.006.008.0010.002.232.93
The chart of Omega ratio for LVHI, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.311.41
The chart of Calmar ratio for LVHI, currently valued at 2.47, compared to the broader market0.005.0010.0015.002.473.26
The chart of Martin ratio for LVHI, currently valued at 11.46, compared to the broader market0.0020.0040.0060.0080.00100.0011.4614.43
LVHI
SPY

The current LVHI Sharpe Ratio is 1.69, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of LVHI and SPY, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.69
2.21
LVHI
SPY

Dividends

LVHI vs. SPY - Dividend Comparison

LVHI's dividend yield for the trailing twelve months is around 5.04%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
LVHI
Legg Mason International Low Volatility High Dividend ETF
5.04%8.12%7.74%4.13%3.97%6.67%10.66%1.97%1.16%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

LVHI vs. SPY - Drawdown Comparison

The maximum LVHI drawdown since its inception was -32.31%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for LVHI and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.67%
-2.74%
LVHI
SPY

Volatility

LVHI vs. SPY - Volatility Comparison

The current volatility for Legg Mason International Low Volatility High Dividend ETF (LVHI) is 2.40%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.72%. This indicates that LVHI experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.40%
3.72%
LVHI
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab