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

Performance

SMMV vs. IJS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) and iShares S&P SmallCap 600 Value ETF (IJS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.26%
12.31%
SMMV
IJS

Returns By Period

In the year-to-date period, SMMV achieves a 21.83% return, which is significantly higher than IJS's 10.07% return.


SMMV

YTD

21.83%

1M

3.89%

6M

15.26%

1Y

28.83%

5Y (annualized)

6.06%

10Y (annualized)

N/A

IJS

YTD

10.07%

1M

4.43%

6M

12.31%

1Y

26.28%

5Y (annualized)

9.48%

10Y (annualized)

8.54%

Key characteristics


SMMVIJS
Sharpe Ratio2.391.17
Sortino Ratio3.491.79
Omega Ratio1.441.21
Calmar Ratio2.551.54
Martin Ratio17.235.32
Ulcer Index1.65%4.62%
Daily Std Dev11.91%21.07%
Max Drawdown-38.77%-60.11%
Current Drawdown-2.41%-4.43%

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SMMV vs. IJS - Expense Ratio Comparison

SMMV has a 0.20% expense ratio, which is lower than IJS'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%.


IJS
iShares S&P SmallCap 600 Value ETF
Expense ratio chart for IJS: 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 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%

Correlation

-0.50.00.51.00.8

The correlation between SMMV and IJS is 0.82, 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

SMMV vs. IJS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) and iShares S&P SmallCap 600 Value ETF (IJS). 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 SMMV, currently valued at 2.39, compared to the broader market0.002.004.002.391.17
The chart of Sortino ratio for SMMV, currently valued at 3.49, compared to the broader market-2.000.002.004.006.008.0010.0012.003.491.79
The chart of Omega ratio for SMMV, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.21
The chart of Calmar ratio for SMMV, currently valued at 2.55, compared to the broader market0.005.0010.0015.002.551.54
The chart of Martin ratio for SMMV, currently valued at 17.23, compared to the broader market0.0020.0040.0060.0080.00100.0017.235.32
SMMV
IJS

The current SMMV Sharpe Ratio is 2.39, which is higher than the IJS Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of SMMV and IJS, 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.39
1.17
SMMV
IJS

Dividends

SMMV vs. IJS - Dividend Comparison

SMMV's dividend yield for the trailing twelve months is around 1.50%, more than IJS's 1.45% yield.


TTM20232022202120202019201820172016201520142013
SMMV
iShares MSCI USA Small-Cap Min Vol Factor ETF
1.50%1.78%1.67%1.07%1.39%1.65%1.72%1.62%0.79%0.00%0.00%0.00%
IJS
iShares S&P SmallCap 600 Value ETF
1.45%1.42%1.47%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%

Drawdowns

SMMV vs. IJS - Drawdown Comparison

The maximum SMMV drawdown since its inception was -38.77%, smaller than the maximum IJS drawdown of -60.11%. Use the drawdown chart below to compare losses from any high point for SMMV and IJS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.41%
-4.43%
SMMV
IJS

Volatility

SMMV vs. IJS - Volatility Comparison

The current volatility for iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) is 4.92%, while iShares S&P SmallCap 600 Value ETF (IJS) has a volatility of 7.54%. This indicates that SMMV experiences smaller price fluctuations and is considered to be less risky than IJS 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
4.92%
7.54%
SMMV
IJS