PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SMLV vs. XSLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SMLV vs. XSLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and Invesco S&P SmallCap Low Volatility ETF (XSLV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
27.14%
16.59%
SMLV
XSLV

Returns By Period

In the year-to-date period, SMLV achieves a 24.23% return, which is significantly higher than XSLV's 15.41% return. Over the past 10 years, SMLV has outperformed XSLV with an annualized return of 9.60%, while XSLV has yielded a comparatively lower 6.81% annualized return.


SMLV

YTD

24.23%

1M

9.44%

6M

27.14%

1Y

38.99%

5Y (annualized)

9.92%

10Y (annualized)

9.60%

XSLV

YTD

15.41%

1M

5.39%

6M

16.59%

1Y

26.40%

5Y (annualized)

2.57%

10Y (annualized)

6.81%

Key characteristics


SMLVXSLV
Sharpe Ratio1.881.66
Sortino Ratio2.912.50
Omega Ratio1.361.30
Calmar Ratio3.181.38
Martin Ratio9.719.71
Ulcer Index4.07%2.79%
Daily Std Dev21.03%16.26%
Max Drawdown-42.45%-44.34%
Current Drawdown-1.91%-1.51%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SMLV vs. XSLV - Expense Ratio Comparison

SMLV has a 0.12% expense ratio, which is lower than XSLV's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XSLV
Invesco S&P SmallCap Low Volatility ETF
Expense ratio chart for XSLV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SMLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Correlation

-0.50.00.51.00.9

The correlation between SMLV and XSLV is 0.92, 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

SMLV vs. XSLV - 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 Invesco S&P SmallCap Low Volatility ETF (XSLV). 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 SMLV, currently valued at 1.88, compared to the broader market0.002.004.001.881.66
The chart of Sortino ratio for SMLV, currently valued at 2.91, compared to the broader market-2.000.002.004.006.008.0010.002.912.50
The chart of Omega ratio for SMLV, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.30
The chart of Calmar ratio for SMLV, currently valued at 3.18, compared to the broader market0.005.0010.0015.003.181.38
The chart of Martin ratio for SMLV, currently valued at 9.71, compared to the broader market0.0020.0040.0060.0080.00100.009.719.71
SMLV
XSLV

The current SMLV Sharpe Ratio is 1.88, which is comparable to the XSLV Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of SMLV and XSLV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.88
1.66
SMLV
XSLV

Dividends

SMLV vs. XSLV - Dividend Comparison

SMLV's dividend yield for the trailing twelve months is around 2.35%, more than XSLV's 1.91% yield.


TTM20232022202120202019201820172016201520142013
SMLV
SPDR SSGA US Small Cap Low Volatility Index ETF
2.35%2.68%2.40%2.12%2.47%2.62%3.15%7.92%3.04%2.63%2.76%3.68%
XSLV
Invesco S&P SmallCap Low Volatility ETF
1.91%2.35%2.79%1.05%2.48%2.43%2.75%1.87%1.96%2.20%2.38%1.58%

Drawdowns

SMLV vs. XSLV - Drawdown Comparison

The maximum SMLV drawdown since its inception was -42.45%, roughly equal to the maximum XSLV drawdown of -44.34%. Use the drawdown chart below to compare losses from any high point for SMLV and XSLV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.91%
-1.51%
SMLV
XSLV

Volatility

SMLV vs. XSLV - Volatility Comparison

SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) has a higher volatility of 10.54% compared to Invesco S&P SmallCap Low Volatility ETF (XSLV) at 7.00%. This indicates that SMLV's price experiences larger fluctuations and is considered to be riskier than XSLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.54%
7.00%
SMLV
XSLV