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

Correlation

The correlation between SPLV and USMV is 0.92, 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.


-0.50.00.51.00.9

Performance

SPLV vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Low Volatility ETF (SPLV) and iShares Edge MSCI Min Vol USA ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

260.00%280.00%300.00%320.00%340.00%360.00%380.00%JulyAugustSeptemberOctoberNovemberDecember
285.76%
354.65%
SPLV
USMV

Key characteristics

Sharpe Ratio

SPLV:

1.85

USMV:

2.21

Sortino Ratio

SPLV:

2.58

USMV:

3.07

Omega Ratio

SPLV:

1.33

USMV:

1.40

Calmar Ratio

SPLV:

2.24

USMV:

3.19

Martin Ratio

SPLV:

10.05

USMV:

12.50

Ulcer Index

SPLV:

1.67%

USMV:

1.52%

Daily Std Dev

SPLV:

9.09%

USMV:

8.59%

Max Drawdown

SPLV:

-36.26%

USMV:

-33.10%

Current Drawdown

SPLV:

-6.13%

USMV:

-4.99%

Returns By Period

In the year-to-date period, SPLV achieves a 14.19% return, which is significantly lower than USMV's 16.59% return. Over the past 10 years, SPLV has underperformed USMV with an annualized return of 8.52%, while USMV has yielded a comparatively higher 10.20% annualized return.


SPLV

YTD

14.19%

1M

-4.63%

6M

7.78%

1Y

15.38%

5Y*

6.19%

10Y*

8.52%

USMV

YTD

16.59%

1M

-3.34%

6M

7.28%

1Y

17.51%

5Y*

8.40%

10Y*

10.20%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPLV vs. USMV - Expense Ratio Comparison

SPLV has a 0.25% expense ratio, which is higher than USMV's 0.15% 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 USMV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

SPLV vs. USMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Low Volatility ETF (SPLV) and iShares Edge MSCI Min Vol USA ETF (USMV). 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 SPLV, currently valued at 1.85, compared to the broader market0.002.004.001.852.21
The chart of Sortino ratio for SPLV, currently valued at 2.58, compared to the broader market-2.000.002.004.006.008.0010.002.583.07
The chart of Omega ratio for SPLV, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.40
The chart of Calmar ratio for SPLV, currently valued at 2.24, compared to the broader market0.005.0010.0015.002.243.19
The chart of Martin ratio for SPLV, currently valued at 10.05, compared to the broader market0.0020.0040.0060.0080.00100.0010.0512.50
SPLV
USMV

The current SPLV Sharpe Ratio is 1.85, which is comparable to the USMV Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SPLV and USMV, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.85
2.21
SPLV
USMV

Dividends

SPLV vs. USMV - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 1.73%, more than USMV's 1.66% yield.


TTM20232022202120202019201820172016201520142013
SPLV
Invesco S&P 500® Low Volatility ETF
1.73%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%2.60%
USMV
iShares Edge MSCI Min Vol USA ETF
1.66%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%

Drawdowns

SPLV vs. USMV - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for SPLV and USMV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.13%
-4.99%
SPLV
USMV

Volatility

SPLV vs. USMV - Volatility Comparison

Invesco S&P 500® Low Volatility ETF (SPLV) and iShares Edge MSCI Min Vol USA ETF (USMV) have volatilities of 3.16% and 3.15%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%JulyAugustSeptemberOctoberNovemberDecember
3.16%
3.15%
SPLV
USMV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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