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

Correlation

The correlation between SMLF and SMMV is 0.86, 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.


-0.50.00.51.00.9

Performance

SMLF vs. SMMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV). The values are adjusted to include any dividend payments, if applicable.

80.00%100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
142.69%
96.41%
SMLF
SMMV

Key characteristics

Sharpe Ratio

SMLF:

1.13

SMMV:

1.71

Sortino Ratio

SMLF:

1.65

SMMV:

2.48

Omega Ratio

SMLF:

1.20

SMMV:

1.31

Calmar Ratio

SMLF:

2.31

SMMV:

2.71

Martin Ratio

SMLF:

6.43

SMMV:

11.28

Ulcer Index

SMLF:

3.15%

SMMV:

1.81%

Daily Std Dev

SMLF:

17.85%

SMMV:

11.95%

Max Drawdown

SMLF:

-41.89%

SMMV:

-38.77%

Current Drawdown

SMLF:

-7.56%

SMMV:

-5.61%

Returns By Period

In the year-to-date period, SMLF achieves a 17.60% return, which is significantly lower than SMMV's 18.74% return.


SMLF

YTD

17.60%

1M

-4.37%

6M

13.27%

1Y

17.56%

5Y*

11.20%

10Y*

N/A

SMMV

YTD

18.74%

1M

-3.88%

6M

13.78%

1Y

18.48%

5Y*

5.01%

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.


SMLF vs. SMMV - Expense Ratio Comparison

SMLF has a 0.30% expense ratio, which is higher than SMMV'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 SMMV: 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

SMLF vs. SMMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV). 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 1.13, compared to the broader market0.002.004.001.131.71
The chart of Sortino ratio for SMLF, currently valued at 1.65, compared to the broader market-2.000.002.004.006.008.0010.001.652.48
The chart of Omega ratio for SMLF, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.31
The chart of Calmar ratio for SMLF, currently valued at 2.31, compared to the broader market0.005.0010.0015.002.312.71
The chart of Martin ratio for SMLF, currently valued at 6.43, compared to the broader market0.0020.0040.0060.0080.00100.006.4311.28
SMLF
SMMV

The current SMLF Sharpe Ratio is 1.13, which is lower than the SMMV Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of SMLF and SMMV, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.13
1.71
SMLF
SMMV

Dividends

SMLF vs. SMMV - Dividend Comparison

SMLF's dividend yield for the trailing twelve months is around 1.32%, less than SMMV's 1.75% yield.


TTM202320222021202020192018201720162015
SMLF
iShares MSCI USA Small-Cap Multifactor ETF
1.32%1.13%1.23%1.07%1.32%1.39%1.16%0.93%0.78%0.79%
SMMV
iShares MSCI USA Small-Cap Min Vol Factor ETF
1.75%1.78%1.67%1.07%1.39%1.65%1.72%1.62%0.79%0.00%

Drawdowns

SMLF vs. SMMV - Drawdown Comparison

The maximum SMLF drawdown since its inception was -41.89%, which is greater than SMMV's maximum drawdown of -38.77%. Use the drawdown chart below to compare losses from any high point for SMLF and SMMV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.56%
-5.61%
SMLF
SMMV

Volatility

SMLF vs. SMMV - Volatility Comparison

iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a higher volatility of 5.98% compared to iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) at 3.80%. This indicates that SMLF's price experiences larger fluctuations and is considered to be riskier than SMMV 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%JulyAugustSeptemberOctoberNovemberDecember
5.98%
3.80%
SMLF
SMMV
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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.

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