SEIV vs. IUMF.L
Compare and contrast key facts about SEI Enhanced US Large Cap Value Factor ETF (SEIV) and IShares Edge MSCI USA Momentum Factor ETF (IUMF.L).
SEIV and IUMF.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SEIV is an actively managed fund by SEI. It was launched on May 16, 2022. IUMF.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Oct 13, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SEIV or IUMF.L.
Key characteristics
| SEIV | IUMF.L | |
|---|---|---|
| YTD Return | 24.69% | 33.77% |
| 1Y Return | 39.49% | 39.69% |
| Sharpe Ratio | 3.13 | 2.18 |
| Sortino Ratio | 4.20 | 2.91 |
| Omega Ratio | 1.57 | 1.40 |
| Calmar Ratio | 4.78 | 2.60 |
| Martin Ratio | 19.93 | 10.68 |
| Ulcer Index | 1.93% | 3.64% |
| Daily Std Dev | 12.27% | 17.77% |
| Max Drawdown | -18.18% | -25.23% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between SEIV and IUMF.L is 0.52, 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.
Performance
SEIV vs. IUMF.L - Performance Comparison
In the year-to-date period, SEIV achieves a 24.69% return, which is significantly lower than IUMF.L's 33.77% 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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SEIV vs. IUMF.L - Expense Ratio Comparison
SEIV has a 0.15% expense ratio, which is lower than IUMF.L's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
SEIV vs. IUMF.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Enhanced US Large Cap Value Factor ETF (SEIV) and IShares Edge MSCI USA Momentum Factor ETF (IUMF.L). 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
SEIV vs. IUMF.L - Dividend Comparison
SEIV's dividend yield for the trailing twelve months is around 1.63%, while IUMF.L has not paid dividends to shareholders.
| TTM | 2023 | 2022 | |
|---|---|---|---|
SEIV SEI Enhanced US Large Cap Value Factor ETF | 1.63% | 2.08% | 1.63% |
IUMF.L IShares Edge MSCI USA Momentum Factor ETF | 0.00% | 0.00% | 0.00% |
Drawdowns
SEIV vs. IUMF.L - Drawdown Comparison
The maximum SEIV drawdown since its inception was -18.18%, smaller than the maximum IUMF.L drawdown of -25.23%. Use the drawdown chart below to compare losses from any high point for SEIV and IUMF.L. For additional features, visit the drawdowns tool.
Volatility
SEIV vs. IUMF.L - Volatility Comparison
SEI Enhanced US Large Cap Value Factor ETF (SEIV) has a higher volatility of 3.95% compared to IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) at 3.24%. This indicates that SEIV's price experiences larger fluctuations and is considered to be riskier than IUMF.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.