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

Key characteristics


SPLVSPY
YTD Return18.88%26.77%
1Y Return25.22%37.43%
3Y Return (Ann)6.73%10.15%
5Y Return (Ann)7.32%15.86%
10Y Return (Ann)9.47%13.33%
Sharpe Ratio2.723.06
Sortino Ratio3.804.08
Omega Ratio1.501.58
Calmar Ratio2.324.44
Martin Ratio18.1920.11
Ulcer Index1.38%1.85%
Daily Std Dev9.24%12.18%
Max Drawdown-36.26%-55.19%
Current Drawdown-0.30%-0.31%

Correlation

-0.50.00.51.00.8

The correlation between SPLV and SPY is 0.76, 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

SPLV vs. SPY - Performance Comparison

In the year-to-date period, SPLV achieves a 18.88% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, SPLV has underperformed SPY with an annualized return of 9.47%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.58%
13.38%
SPLV
SPY

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SPLV vs. SPY - Expense Ratio Comparison

SPLV has a 0.25% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

SPLV vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Low Volatility ETF (SPLV) and SPDR S&P 500 ETF (SPY). 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 2.72, compared to the broader market-2.000.002.004.002.72
Sortino ratio
The chart of Sortino ratio for SPLV, currently valued at 3.80, compared to the broader market-2.000.002.004.006.008.0010.0012.003.80
Omega ratio
The chart of Omega ratio for SPLV, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for SPLV, currently valued at 2.32, compared to the broader market0.005.0010.0015.002.32
Martin ratio
The chart of Martin ratio for SPLV, currently valued at 18.19, compared to the broader market0.0020.0040.0060.0080.00100.0018.19
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.0020.11

SPLV vs. SPY - Sharpe Ratio Comparison

The current SPLV Sharpe Ratio is 2.72, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of SPLV and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.72
3.06
SPLV
SPY

Dividends

SPLV vs. SPY - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 1.89%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
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%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SPLV vs. SPY - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SPLV and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.30%
-0.31%
SPLV
SPY

Volatility

SPLV vs. SPY - Volatility Comparison

The current volatility for Invesco S&P 500® Low Volatility ETF (SPLV) is 2.83%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that SPLV experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.83%
3.88%
SPLV
SPY