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SPLV vs. SPHB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPLVSPHB
YTD Return19.23%12.96%
1Y Return25.54%36.93%
3Y Return (Ann)6.85%5.21%
5Y Return (Ann)7.46%17.79%
10Y Return (Ann)9.50%11.98%
Sharpe Ratio2.841.89
Sortino Ratio3.952.52
Omega Ratio1.521.33
Calmar Ratio2.422.35
Martin Ratio18.989.08
Ulcer Index1.38%4.37%
Daily Std Dev9.25%20.95%
Max Drawdown-36.26%-46.84%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.6

The correlation between SPLV and SPHB 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

SPLV vs. SPHB - Performance Comparison

In the year-to-date period, SPLV achieves a 19.23% return, which is significantly higher than SPHB's 12.96% return. Over the past 10 years, SPLV has underperformed SPHB with an annualized return of 9.50%, while SPHB has yielded a comparatively higher 11.98% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.42%
9.80%
SPLV
SPHB

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SPLV vs. SPHB - Expense Ratio Comparison

Both SPLV and SPHB 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%.


SPLV
Invesco S&P 500® Low Volatility ETF
Expense ratio chart for SPLV: 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 SPHB: 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%

Risk-Adjusted Performance

SPLV vs. SPHB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Low Volatility ETF (SPLV) and Invesco S&P 500® High Beta ETF (SPHB). 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.


SPLV
Sharpe ratio
The chart of Sharpe ratio for SPLV, currently valued at 2.84, compared to the broader market-2.000.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for SPLV, currently valued at 3.95, compared to the broader market0.005.0010.003.95
Omega ratio
The chart of Omega ratio for SPLV, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for SPLV, currently valued at 2.42, compared to the broader market0.005.0010.0015.002.42
Martin ratio
The chart of Martin ratio for SPLV, currently valued at 18.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.98
SPHB
Sharpe ratio
The chart of Sharpe ratio for SPHB, currently valued at 1.89, compared to the broader market-2.000.002.004.006.001.89
Sortino ratio
The chart of Sortino ratio for SPHB, currently valued at 2.52, compared to the broader market0.005.0010.002.52
Omega ratio
The chart of Omega ratio for SPHB, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for SPHB, currently valued at 2.35, compared to the broader market0.005.0010.0015.002.35
Martin ratio
The chart of Martin ratio for SPHB, currently valued at 9.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.08

SPLV vs. SPHB - Sharpe Ratio Comparison

The current SPLV Sharpe Ratio is 2.84, which is higher than the SPHB Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of SPLV and SPHB, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.84
1.89
SPLV
SPHB

Dividends

SPLV vs. SPHB - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 1.88%, more than SPHB's 0.83% yield.


TTM20232022202120202019201820172016201520142013
SPLV
Invesco S&P 500® Low Volatility ETF
1.88%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%2.60%
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%

Drawdowns

SPLV vs. SPHB - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, smaller than the maximum SPHB drawdown of -46.84%. Use the drawdown chart below to compare losses from any high point for SPLV and SPHB. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
SPLV
SPHB

Volatility

SPLV vs. SPHB - Volatility Comparison

The current volatility for Invesco S&P 500® Low Volatility ETF (SPLV) is 2.90%, while Invesco S&P 500® High Beta ETF (SPHB) has a volatility of 5.79%. This indicates that SPLV experiences smaller price fluctuations and is considered to be less risky than SPHB 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
2.90%
5.79%
SPLV
SPHB