SPHB vs. SPLV
Compare and contrast key facts about Invesco S&P 500® High Beta ETF (SPHB) and Invesco S&P 500® Low Volatility ETF (SPLV).
SPHB and SPLV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPHB is a passively managed fund by Invesco that tracks the performance of the S&P 500 High Beta Index. It was launched on May 5, 2011. SPLV is a passively managed fund by Invesco that tracks the performance of the S&P 500 Low Volatility Index. It was launched on May 5, 2011. Both SPHB and SPLV 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: SPHB or SPLV.
Key characteristics
| SPHB | SPLV | |
|---|---|---|
| YTD Return | 11.36% | 18.88% |
| 1Y Return | 35.74% | 25.22% |
| 3Y Return (Ann) | 4.70% | 6.73% |
| 5Y Return (Ann) | 17.43% | 7.32% |
| 10Y Return (Ann) | 11.82% | 9.47% |
| Sharpe Ratio | 1.67 | 2.72 |
| Sortino Ratio | 2.26 | 3.80 |
| Omega Ratio | 1.29 | 1.50 |
| Calmar Ratio | 2.08 | 2.32 |
| Martin Ratio | 8.01 | 18.19 |
| Ulcer Index | 4.37% | 1.38% |
| Daily Std Dev | 20.96% | 9.24% |
| Max Drawdown | -46.84% | -36.26% |
| Current Drawdown | -1.42% | -0.30% |
Correlation
The correlation between SPHB and SPLV is 0.56, 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.
Performance
SPHB vs. SPLV - Performance Comparison
In the year-to-date period, SPHB achieves a 11.36% return, which is significantly lower than SPLV's 18.88% return. Over the past 10 years, SPHB has outperformed SPLV with an annualized return of 11.82%, while SPLV has yielded a comparatively lower 9.47% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SPHB vs. SPLV - Expense Ratio Comparison
Both SPHB and SPLV have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
SPHB vs. SPLV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Beta ETF (SPHB) and Invesco S&P 500® Low Volatility ETF (SPLV). 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
SPHB vs. SPLV - Dividend Comparison
SPHB's dividend yield for the trailing twelve months is around 0.84%, less than SPLV's 1.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHB Invesco S&P 500® High Beta ETF | 0.84% | 0.73% | 0.72% | 0.91% | 1.90% | 1.26% | 1.96% | 1.34% | 0.93% | 1.69% | 0.98% | 0.69% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.89% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
Drawdowns
SPHB vs. SPLV - Drawdown Comparison
The maximum SPHB drawdown since its inception was -46.84%, which is greater than SPLV's maximum drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for SPHB and SPLV. For additional features, visit the drawdowns tool.
Volatility
SPHB vs. SPLV - Volatility Comparison
Invesco S&P 500® High Beta ETF (SPHB) has a higher volatility of 5.89% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 2.83%. This indicates that SPHB's price experiences larger fluctuations and is considered to be riskier than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.