SMLV vs. DXJ
Compare and contrast key facts about SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and WisdomTree Japan Hedged Equity Fund (DXJ).
SMLV and DXJ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SMLV is a passively managed fund by State Street that tracks the performance of the SSGA US Small Cap Low Volatility Index. It was launched on Feb 20, 2013. DXJ is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Japan Hedged Equity Index. It was launched on Jun 16, 2006. Both SMLV and DXJ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SMLV or DXJ.
Performance
SMLV vs. DXJ - Performance Comparison
Returns By Period
In the year-to-date period, SMLV achieves a 22.19% return, which is significantly lower than DXJ's 25.34% return. Over the past 10 years, SMLV has underperformed DXJ with an annualized return of 9.44%, while DXJ has yielded a comparatively higher 11.40% annualized return.
SMLV
22.19%
7.86%
23.09%
37.23%
9.56%
9.44%
DXJ
25.34%
1.54%
1.18%
24.80%
18.59%
11.40%
Key characteristics
| SMLV | DXJ | |
|---|---|---|
| Sharpe Ratio | 1.71 | 1.15 |
| Sortino Ratio | 2.69 | 1.52 |
| Omega Ratio | 1.33 | 1.23 |
| Calmar Ratio | 2.86 | 1.08 |
| Martin Ratio | 8.85 | 3.80 |
| Ulcer Index | 4.07% | 6.32% |
| Daily Std Dev | 21.00% | 20.84% |
| Max Drawdown | -42.45% | -49.63% |
| Current Drawdown | -3.52% | -6.87% |
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SMLV vs. DXJ - Expense Ratio Comparison
SMLV has a 0.12% expense ratio, which is lower than DXJ's 0.48% expense ratio.
Correlation
The correlation between SMLV and DXJ is 0.55, 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.
Risk-Adjusted Performance
SMLV vs. DXJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and WisdomTree Japan Hedged Equity Fund (DXJ). 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
SMLV vs. DXJ - Dividend Comparison
SMLV's dividend yield for the trailing twelve months is around 2.38%, more than DXJ's 2.35% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SMLV SPDR SSGA US Small Cap Low Volatility Index ETF | 2.38% | 2.68% | 2.40% | 2.12% | 2.47% | 2.62% | 3.15% | 7.92% | 3.04% | 2.63% | 2.76% | 3.68% |
DXJ WisdomTree Japan Hedged Equity Fund | 2.35% | 3.44% | 3.03% | 2.64% | 2.53% | 2.47% | 2.92% | 2.30% | 1.98% | 5.95% | 11.61% | 2.44% |
Drawdowns
SMLV vs. DXJ - Drawdown Comparison
The maximum SMLV drawdown since its inception was -42.45%, smaller than the maximum DXJ drawdown of -49.63%. Use the drawdown chart below to compare losses from any high point for SMLV and DXJ. For additional features, visit the drawdowns tool.
Volatility
SMLV vs. DXJ - Volatility Comparison
SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) has a higher volatility of 10.46% compared to WisdomTree Japan Hedged Equity Fund (DXJ) at 4.77%. This indicates that SMLV's price experiences larger fluctuations and is considered to be riskier than DXJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.