ONEV vs. ONEO
Compare and contrast key facts about SPDR Russell 1000 Low Volatility Focus ETF (ONEV) and SPDR Russell 1000 Momentum Focus ETF (ONEO).
ONEV and ONEO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ONEV is a passively managed fund by State Street that tracks the performance of the Russell 1000 Low Volatility Focused Factor (TR). It was launched on Dec 2, 2015. ONEO is a passively managed fund by State Street that tracks the performance of the Russell 1000 Momentum Focused Factor Index. It was launched on Dec 2, 2015. Both ONEV and ONEO 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: ONEV or ONEO.
Key characteristics
| ONEV | ONEO | |
|---|---|---|
| YTD Return | 12.91% | 13.89% |
| 1Y Return | 23.54% | 27.22% |
| 3Y Return (Ann) | 7.07% | 5.42% |
| 5Y Return (Ann) | 10.84% | 11.12% |
| Sharpe Ratio | 2.46 | 2.59 |
| Sortino Ratio | 3.58 | 3.57 |
| Omega Ratio | 1.44 | 1.44 |
| Calmar Ratio | 3.71 | 2.46 |
| Martin Ratio | 11.57 | 13.23 |
| Ulcer Index | 2.38% | 2.63% |
| Daily Std Dev | 11.19% | 13.41% |
| Max Drawdown | -39.72% | -40.86% |
| Current Drawdown | -2.56% | -3.03% |
Correlation
The correlation between ONEV and ONEO is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
ONEV vs. ONEO - Performance Comparison
In the year-to-date period, ONEV achieves a 12.91% return, which is significantly lower than ONEO's 13.89% 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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ONEV vs. ONEO - Expense Ratio Comparison
Both ONEV and ONEO have an expense ratio of 0.20%, 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
ONEV vs. ONEO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) and SPDR Russell 1000 Momentum Focus ETF (ONEO). 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
ONEV vs. ONEO - Dividend Comparison
ONEV's dividend yield for the trailing twelve months is around 1.72%, more than ONEO's 1.27% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
ONEV SPDR Russell 1000 Low Volatility Focus ETF | 1.72% | 1.79% | 1.80% | 1.44% | 1.87% | 2.07% | 2.14% | 6.91% | 2.02% | 0.08% |
ONEO SPDR Russell 1000 Momentum Focus ETF | 1.27% | 1.56% | 1.73% | 1.19% | 1.28% | 1.64% | 1.72% | 7.69% | 1.82% | 0.10% |
Drawdowns
ONEV vs. ONEO - Drawdown Comparison
The maximum ONEV drawdown since its inception was -39.72%, roughly equal to the maximum ONEO drawdown of -40.86%. Use the drawdown chart below to compare losses from any high point for ONEV and ONEO. For additional features, visit the drawdowns tool.
Volatility
ONEV vs. ONEO - Volatility Comparison
The current volatility for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) is 2.65%, while SPDR Russell 1000 Momentum Focus ETF (ONEO) has a volatility of 2.99%. This indicates that ONEV experiences smaller price fluctuations and is considered to be less risky than ONEO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.