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SMLF vs. GSSC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SMLF vs. GSSC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and Goldman Sachs ActiveBeta US Small Cap Equity ETF (GSSC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.10%
14.38%
SMLF
GSSC

Returns By Period

In the year-to-date period, SMLF achieves a 21.30% return, which is significantly higher than GSSC's 15.78% return.


SMLF

YTD

21.30%

1M

5.32%

6M

13.72%

1Y

36.98%

5Y (annualized)

12.78%

10Y (annualized)

N/A

GSSC

YTD

15.78%

1M

4.75%

6M

12.66%

1Y

30.45%

5Y (annualized)

11.06%

10Y (annualized)

N/A

Key characteristics


SMLFGSSC
Sharpe Ratio2.001.42
Sortino Ratio2.822.13
Omega Ratio1.341.26
Calmar Ratio3.451.64
Martin Ratio12.017.90
Ulcer Index2.98%3.70%
Daily Std Dev17.88%20.56%
Max Drawdown-41.89%-41.38%
Current Drawdown-2.55%-4.59%

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SMLF vs. GSSC - Expense Ratio Comparison

SMLF has a 0.30% expense ratio, which is higher than GSSC's 0.20% expense ratio.


SMLF
iShares MSCI USA Small-Cap Multifactor ETF
Expense ratio chart for SMLF: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for GSSC: 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%

Correlation

-0.50.00.51.01.0

The correlation between SMLF and GSSC is 0.95, 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.

Risk-Adjusted Performance

SMLF vs. GSSC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and Goldman Sachs ActiveBeta US Small Cap Equity ETF (GSSC). 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 SMLF, currently valued at 2.00, compared to the broader market0.002.004.002.001.42
The chart of Sortino ratio for SMLF, currently valued at 2.82, compared to the broader market-2.000.002.004.006.008.0010.0012.002.822.13
The chart of Omega ratio for SMLF, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.26
The chart of Calmar ratio for SMLF, currently valued at 3.45, compared to the broader market0.005.0010.0015.003.451.64
The chart of Martin ratio for SMLF, currently valued at 12.01, compared to the broader market0.0020.0040.0060.0080.00100.0012.017.90
SMLF
GSSC

The current SMLF Sharpe Ratio is 2.00, which is higher than the GSSC Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of SMLF and GSSC, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.00
1.42
SMLF
GSSC

Dividends

SMLF vs. GSSC - Dividend Comparison

SMLF's dividend yield for the trailing twelve months is around 0.86%, less than GSSC's 1.18% yield.


TTM202320222021202020192018201720162015
SMLF
iShares MSCI USA Small-Cap Multifactor ETF
0.86%1.13%1.23%1.07%1.32%1.39%1.16%0.93%0.78%0.79%
GSSC
Goldman Sachs ActiveBeta US Small Cap Equity ETF
1.18%1.33%1.31%1.01%0.78%1.24%1.21%0.73%0.00%0.00%

Drawdowns

SMLF vs. GSSC - Drawdown Comparison

The maximum SMLF drawdown since its inception was -41.89%, roughly equal to the maximum GSSC drawdown of -41.38%. Use the drawdown chart below to compare losses from any high point for SMLF and GSSC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.55%
-4.59%
SMLF
GSSC

Volatility

SMLF vs. GSSC - Volatility Comparison

The current volatility for iShares MSCI USA Small-Cap Multifactor ETF (SMLF) is 6.21%, while Goldman Sachs ActiveBeta US Small Cap Equity ETF (GSSC) has a volatility of 7.72%. This indicates that SMLF experiences smaller price fluctuations and is considered to be less risky than GSSC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.21%
7.72%
SMLF
GSSC