SPHB vs. XSVM
Compare and contrast key facts about Invesco S&P 500® High Beta ETF (SPHB) and Invesco S&P SmallCap Value with Momentum ETF (XSVM).
SPHB and XSVM 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. XSVM is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Index. It was launched on Mar 3, 2005. Both SPHB and XSVM 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 XSVM.
Key characteristics
| SPHB | XSVM | |
|---|---|---|
| YTD Return | 12.96% | 12.02% |
| 1Y Return | 36.93% | 30.22% |
| 3Y Return (Ann) | 5.21% | 3.79% |
| 5Y Return (Ann) | 17.79% | 15.00% |
| 10Y Return (Ann) | 11.98% | 11.11% |
| Sharpe Ratio | 1.89 | 1.43 |
| Sortino Ratio | 2.52 | 2.22 |
| Omega Ratio | 1.33 | 1.26 |
| Calmar Ratio | 2.35 | 2.19 |
| Martin Ratio | 9.08 | 5.85 |
| Ulcer Index | 4.37% | 5.49% |
| Daily Std Dev | 20.95% | 22.48% |
| Max Drawdown | -46.84% | -62.57% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between SPHB and XSVM is 0.81, 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.
Performance
SPHB vs. XSVM - Performance Comparison
In the year-to-date period, SPHB achieves a 12.96% return, which is significantly higher than XSVM's 12.02% return. Over the past 10 years, SPHB has outperformed XSVM with an annualized return of 11.98%, while XSVM has yielded a comparatively lower 11.11% 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. XSVM - Expense Ratio Comparison
SPHB has a 0.25% expense ratio, which is lower than XSVM's 0.39% expense ratio.
Risk-Adjusted Performance
SPHB vs. XSVM - 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 SmallCap Value with Momentum ETF (XSVM). 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. XSVM - Dividend Comparison
SPHB's dividend yield for the trailing twelve months is around 0.83%, less than XSVM's 1.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHB Invesco S&P 500® High Beta ETF | 0.83% | 0.73% | 0.72% | 0.91% | 1.90% | 1.26% | 1.96% | 1.34% | 0.93% | 1.69% | 0.98% | 0.69% |
XSVM Invesco S&P SmallCap Value with Momentum ETF | 1.52% | 1.31% | 1.79% | 1.23% | 1.21% | 1.22% | 2.54% | 1.90% | 2.29% | 2.68% | 1.32% | 1.15% |
Drawdowns
SPHB vs. XSVM - Drawdown Comparison
The maximum SPHB drawdown since its inception was -46.84%, smaller than the maximum XSVM drawdown of -62.57%. Use the drawdown chart below to compare losses from any high point for SPHB and XSVM. For additional features, visit the drawdowns tool.
Volatility
SPHB vs. XSVM - Volatility Comparison
The current volatility for Invesco S&P 500® High Beta ETF (SPHB) is 5.79%, while Invesco S&P SmallCap Value with Momentum ETF (XSVM) has a volatility of 9.70%. This indicates that SPHB experiences smaller price fluctuations and is considered to be less risky than XSVM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.