SMLV vs. LGLV
Compare and contrast key facts about SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV).
SMLV and LGLV 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. LGLV is a passively managed fund by State Street that tracks the performance of the SSGA US Large Cap Low Volatility (TR). It was launched on Feb 20, 2013. Both SMLV and LGLV 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 LGLV.
Performance
SMLV vs. LGLV - Performance Comparison
Returns By Period
In the year-to-date period, SMLV achieves a 22.48% return, which is significantly higher than LGLV's 20.12% return. Over the past 10 years, SMLV has underperformed LGLV with an annualized return of 9.47%, while LGLV has yielded a comparatively higher 11.66% annualized return.
SMLV
22.48%
5.72%
22.28%
36.34%
9.64%
9.47%
LGLV
20.12%
-0.64%
11.92%
25.76%
11.22%
11.66%
Key characteristics
| SMLV | LGLV | |
|---|---|---|
| Sharpe Ratio | 1.73 | 2.94 |
| Sortino Ratio | 2.71 | 4.06 |
| Omega Ratio | 1.33 | 1.53 |
| Calmar Ratio | 2.88 | 5.04 |
| Martin Ratio | 8.92 | 17.91 |
| Ulcer Index | 4.06% | 1.46% |
| Daily Std Dev | 20.99% | 8.88% |
| Max Drawdown | -42.45% | -36.64% |
| Current Drawdown | -3.29% | -1.56% |
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SMLV vs. LGLV - Expense Ratio Comparison
Both SMLV and LGLV have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between SMLV and LGLV is 0.69, 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. LGLV - 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 SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV). 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. LGLV - Dividend Comparison
SMLV's dividend yield for the trailing twelve months is around 2.38%, more than LGLV's 1.89% 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% |
LGLV SPDR SSGA US Large Cap Low Volatility Index ETF | 1.89% | 2.03% | 1.95% | 1.65% | 1.98% | 1.89% | 2.09% | 4.39% | 2.54% | 2.97% | 7.14% | 2.99% |
Drawdowns
SMLV vs. LGLV - Drawdown Comparison
The maximum SMLV drawdown since its inception was -42.45%, which is greater than LGLV's maximum drawdown of -36.64%. Use the drawdown chart below to compare losses from any high point for SMLV and LGLV. For additional features, visit the drawdowns tool.
Volatility
SMLV vs. LGLV - Volatility Comparison
SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) has a higher volatility of 10.45% compared to SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) at 2.97%. This indicates that SMLV's price experiences larger fluctuations and is considered to be riskier than LGLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.