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

Correlation

The correlation between ONEY and ONEV is 0.84, 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.


-0.50.00.51.00.8

Performance

ONEY vs. ONEV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Russell 1000 Yield Focus ETF (ONEY) and SPDR Russell 1000 Low Volatility Focus ETF (ONEV). The values are adjusted to include any dividend payments, if applicable.

140.00%150.00%160.00%170.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
162.47%
163.73%
ONEY
ONEV

Key characteristics

Sharpe Ratio

ONEY:

1.08

ONEV:

1.28

Sortino Ratio

ONEY:

1.56

ONEV:

1.87

Omega Ratio

ONEY:

1.19

ONEV:

1.23

Calmar Ratio

ONEY:

1.68

ONEV:

1.96

Martin Ratio

ONEY:

5.27

ONEV:

5.46

Ulcer Index

ONEY:

2.51%

ONEV:

2.58%

Daily Std Dev

ONEY:

12.28%

ONEV:

11.00%

Max Drawdown

ONEY:

-46.80%

ONEV:

-39.72%

Current Drawdown

ONEY:

-6.73%

ONEV:

-6.28%

Returns By Period

In the year-to-date period, ONEY achieves a 11.53% return, which is significantly lower than ONEV's 12.31% return.


ONEY

YTD

11.53%

1M

-3.57%

6M

6.45%

1Y

12.14%

5Y*

10.90%

10Y*

N/A

ONEV

YTD

12.31%

1M

-2.94%

6M

7.00%

1Y

12.97%

5Y*

9.94%

10Y*

N/A

Compare stocks, funds, or ETFs

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


ONEY vs. ONEV - Expense Ratio Comparison

Both ONEY and ONEV 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%.


ONEY
SPDR Russell 1000 Yield Focus ETF
Expense ratio chart for ONEY: 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%
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

ONEY vs. ONEV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Yield Focus ETF (ONEY) and SPDR Russell 1000 Low Volatility Focus ETF (ONEV). 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 ONEY, currently valued at 1.08, compared to the broader market0.002.004.001.081.28
The chart of Sortino ratio for ONEY, currently valued at 1.56, compared to the broader market-2.000.002.004.006.008.0010.001.561.87
The chart of Omega ratio for ONEY, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.23
The chart of Calmar ratio for ONEY, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.681.96
The chart of Martin ratio for ONEY, currently valued at 5.27, compared to the broader market0.0020.0040.0060.0080.00100.005.275.46
ONEY
ONEV

The current ONEY Sharpe Ratio is 1.08, which is comparable to the ONEV Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of ONEY and ONEV, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.08
1.28
ONEY
ONEV

Dividends

ONEY vs. ONEV - Dividend Comparison

ONEY's dividend yield for the trailing twelve months is around 2.37%, more than ONEV's 1.22% yield.


TTM202320222021202020192018201720162015
ONEY
SPDR Russell 1000 Yield Focus ETF
2.37%3.14%3.17%2.46%2.74%3.17%3.72%10.73%3.19%0.29%
ONEV
SPDR Russell 1000 Low Volatility Focus ETF
1.22%1.79%1.80%1.44%1.87%2.07%2.14%6.91%2.02%0.08%

Drawdowns

ONEY vs. ONEV - Drawdown Comparison

The maximum ONEY drawdown since its inception was -46.80%, which is greater than ONEV's maximum drawdown of -39.72%. Use the drawdown chart below to compare losses from any high point for ONEY and ONEV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.73%
-6.28%
ONEY
ONEV

Volatility

ONEY vs. ONEV - Volatility Comparison

SPDR Russell 1000 Yield Focus ETF (ONEY) has a higher volatility of 4.11% compared to SPDR Russell 1000 Low Volatility Focus ETF (ONEV) at 3.76%. This indicates that ONEY's price experiences larger fluctuations and is considered to be riskier than ONEV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JulyAugustSeptemberOctoberNovemberDecember
4.11%
3.76%
ONEY
ONEV
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