PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPLV vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPLV vs. VOO - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.73%
13.62%
SPLV
VOO

Returns By Period

In the year-to-date period, SPLV achieves a 19.73% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, SPLV has underperformed VOO with an annualized return of 9.40%, while VOO has yielded a comparatively higher 13.18% annualized return.


SPLV

YTD

19.73%

1M

1.83%

6M

14.74%

1Y

23.16%

5Y (annualized)

7.52%

10Y (annualized)

9.40%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


SPLVVOO
Sharpe Ratio2.582.70
Sortino Ratio3.603.60
Omega Ratio1.471.50
Calmar Ratio2.593.90
Martin Ratio17.2117.65
Ulcer Index1.39%1.86%
Daily Std Dev9.26%12.19%
Max Drawdown-36.26%-33.99%
Current Drawdown0.00%-0.86%

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. VOO - Expense Ratio Comparison

SPLV has a 0.25% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.8

The correlation between SPLV and VOO 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.

Risk-Adjusted Performance

SPLV vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Low Volatility ETF (SPLV) and Vanguard S&P 500 ETF (VOO). 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 2.58, compared to the broader market0.002.004.002.582.70
The chart of Sortino ratio for SPLV, currently valued at 3.60, compared to the broader market-2.000.002.004.006.008.0010.0012.003.603.60
The chart of Omega ratio for SPLV, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.50
The chart of Calmar ratio for SPLV, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.593.90
The chart of Martin ratio for SPLV, currently valued at 17.21, compared to the broader market0.0020.0040.0060.0080.00100.0017.2117.65
SPLV
VOO

The current SPLV Sharpe Ratio is 2.58, which is comparable to the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of SPLV and VOO, 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
2.58
2.70
SPLV
VOO

Dividends

SPLV vs. VOO - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 1.84%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
SPLV
Invesco S&P 500® Low Volatility ETF
1.84%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%2.60%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SPLV vs. VOO - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SPLV and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.86%
SPLV
VOO

Volatility

SPLV vs. VOO - Volatility Comparison

The current volatility for Invesco S&P 500® Low Volatility ETF (SPLV) is 3.01%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that SPLV experiences smaller price fluctuations and is considered to be less risky than VOO 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
3.01%
3.99%
SPLV
VOO