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SELV vs. MGV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SELV and MGV is 0.81, 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

SELV vs. MGV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Enhanced Low Volatility US Large Cap ETF (SELV) and Vanguard Mega Cap Value ETF (MGV). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SELV:

1.10

MGV:

0.52

Sortino Ratio

SELV:

1.58

MGV:

0.90

Omega Ratio

SELV:

1.23

MGV:

1.13

Calmar Ratio

SELV:

1.59

MGV:

0.67

Martin Ratio

SELV:

6.16

MGV:

2.53

Ulcer Index

SELV:

2.30%

MGV:

3.51%

Daily Std Dev

SELV:

12.67%

MGV:

15.33%

Max Drawdown

SELV:

-13.73%

MGV:

-56.31%

Current Drawdown

SELV:

-1.23%

MGV:

-5.92%

Returns By Period

In the year-to-date period, SELV achieves a 4.22% return, which is significantly higher than MGV's 0.18% return.


SELV

YTD

4.22%

1M

4.69%

6M

0.90%

1Y

13.12%

5Y*

N/A

10Y*

N/A

MGV

YTD

0.18%

1M

4.39%

6M

-4.26%

1Y

7.43%

5Y*

14.57%

10Y*

10.19%

*Annualized

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SELV vs. MGV - Expense Ratio Comparison

SELV has a 0.15% expense ratio, which is higher than MGV's 0.07% expense ratio. However, 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

SELV vs. MGV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SELV
The Risk-Adjusted Performance Rank of SELV is 8787
Overall Rank
The Sharpe Ratio Rank of SELV is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of SELV is 8484
Sortino Ratio Rank
The Omega Ratio Rank of SELV is 8686
Omega Ratio Rank
The Calmar Ratio Rank of SELV is 9191
Calmar Ratio Rank
The Martin Ratio Rank of SELV is 8888
Martin Ratio Rank

MGV
The Risk-Adjusted Performance Rank of MGV is 6666
Overall Rank
The Sharpe Ratio Rank of MGV is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of MGV is 6262
Sortino Ratio Rank
The Omega Ratio Rank of MGV is 6464
Omega Ratio Rank
The Calmar Ratio Rank of MGV is 7373
Calmar Ratio Rank
The Martin Ratio Rank of MGV is 7070
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SELV vs. MGV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Enhanced Low Volatility US Large Cap ETF (SELV) and Vanguard Mega Cap Value ETF (MGV). 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.


The current SELV Sharpe Ratio is 1.10, which is higher than the MGV Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of SELV and MGV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SELV vs. MGV - Dividend Comparison

SELV's dividend yield for the trailing twelve months is around 1.88%, less than MGV's 2.30% yield.


TTM20242023202220212020201920182017201620152014
SELV
SEI Enhanced Low Volatility US Large Cap ETF
1.88%1.77%2.06%1.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MGV
Vanguard Mega Cap Value ETF
2.30%2.31%2.48%2.45%2.17%2.47%2.69%2.65%2.34%2.53%2.59%2.26%

Drawdowns

SELV vs. MGV - Drawdown Comparison

The maximum SELV drawdown since its inception was -13.73%, smaller than the maximum MGV drawdown of -56.31%. Use the drawdown chart below to compare losses from any high point for SELV and MGV. For additional features, visit the drawdowns tool.


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Volatility

SELV vs. MGV - Volatility Comparison

The current volatility for SEI Enhanced Low Volatility US Large Cap ETF (SELV) is 4.66%, while Vanguard Mega Cap Value ETF (MGV) has a volatility of 5.19%. This indicates that SELV experiences smaller price fluctuations and is considered to be less risky than MGV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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