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ONEV vs. RFV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ONEVRFV
YTD Return13.05%2.77%
1Y Return23.69%20.88%
3Y Return (Ann)7.02%8.11%
5Y Return (Ann)10.83%13.90%
Sharpe Ratio2.321.28
Sortino Ratio3.361.87
Omega Ratio1.411.23
Calmar Ratio3.452.08
Martin Ratio10.745.80
Ulcer Index2.39%4.23%
Daily Std Dev11.00%18.92%
Max Drawdown-39.72%-71.82%
Current Drawdown-2.45%-2.75%

Correlation

-0.50.00.51.00.8

The correlation between ONEV and RFV is 0.79, 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. RFV - Performance Comparison

In the year-to-date period, ONEV achieves a 13.05% return, which is significantly higher than RFV's 2.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.18%
4.30%
ONEV
RFV

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ONEV vs. RFV - Expense Ratio Comparison

ONEV has a 0.20% expense ratio, which is lower than RFV's 0.35% expense ratio.


RFV
Invesco S&P MidCap 400® Pure Value ETF
Expense ratio chart for RFV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for ONEV: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

ONEV vs. RFV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) and Invesco S&P MidCap 400® Pure Value ETF (RFV). 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.


ONEV
Sharpe ratio
The chart of Sharpe ratio for ONEV, currently valued at 2.32, compared to the broader market0.002.004.006.002.32
Sortino ratio
The chart of Sortino ratio for ONEV, currently valued at 3.36, compared to the broader market0.005.0010.003.36
Omega ratio
The chart of Omega ratio for ONEV, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for ONEV, currently valued at 3.45, compared to the broader market0.005.0010.0015.0020.003.45
Martin ratio
The chart of Martin ratio for ONEV, currently valued at 10.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.74
RFV
Sharpe ratio
The chart of Sharpe ratio for RFV, currently valued at 1.28, compared to the broader market0.002.004.006.001.28
Sortino ratio
The chart of Sortino ratio for RFV, currently valued at 1.86, compared to the broader market0.005.0010.001.87
Omega ratio
The chart of Omega ratio for RFV, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for RFV, currently valued at 2.08, compared to the broader market0.005.0010.0015.0020.002.08
Martin ratio
The chart of Martin ratio for RFV, currently valued at 5.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.80

ONEV vs. RFV - Sharpe Ratio Comparison

The current ONEV Sharpe Ratio is 2.32, which is higher than the RFV Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of ONEV and RFV, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.32
1.28
ONEV
RFV

Dividends

ONEV vs. RFV - Dividend Comparison

ONEV's dividend yield for the trailing twelve months is around 1.72%, more than RFV's 1.27% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
RFV
Invesco S&P MidCap 400® Pure Value ETF
1.27%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%

Drawdowns

ONEV vs. RFV - Drawdown Comparison

The maximum ONEV drawdown since its inception was -39.72%, smaller than the maximum RFV drawdown of -71.82%. Use the drawdown chart below to compare losses from any high point for ONEV and RFV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.45%
-2.75%
ONEV
RFV

Volatility

ONEV vs. RFV - Volatility Comparison

The current volatility for SPDR Russell 1000 Low Volatility Focus ETF (ONEV) is 2.61%, while Invesco S&P MidCap 400® Pure Value ETF (RFV) has a volatility of 4.08%. This indicates that ONEV experiences smaller price fluctuations and is considered to be less risky than RFV 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%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.61%
4.08%
ONEV
RFV