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SPTM vs. LGLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPTM and LGLV 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.


-0.50.00.51.00.8

Performance

SPTM vs. LGLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) and SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV). 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
372.92%
292.92%
SPTM
LGLV

Key characteristics

Sharpe Ratio

SPTM:

2.15

LGLV:

2.08

Sortino Ratio

SPTM:

2.87

LGLV:

2.86

Omega Ratio

SPTM:

1.40

LGLV:

1.37

Calmar Ratio

SPTM:

3.21

LGLV:

2.76

Martin Ratio

SPTM:

13.89

LGLV:

10.88

Ulcer Index

SPTM:

1.93%

LGLV:

1.74%

Daily Std Dev

SPTM:

12.49%

LGLV:

9.09%

Max Drawdown

SPTM:

-54.80%

LGLV:

-36.64%

Current Drawdown

SPTM:

-2.75%

LGLV:

-6.01%

Returns By Period

In the year-to-date period, SPTM achieves a 24.88% return, which is significantly higher than LGLV's 16.78% return. Over the past 10 years, SPTM has outperformed LGLV with an annualized return of 12.73%, while LGLV has yielded a comparatively lower 11.06% annualized return.


SPTM

YTD

24.88%

1M

-0.47%

6M

9.33%

1Y

25.27%

5Y*

14.44%

10Y*

12.73%

LGLV

YTD

16.78%

1M

-3.11%

6M

9.07%

1Y

18.18%

5Y*

9.99%

10Y*

11.06%

Compare stocks, funds, or ETFs

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


SPTM vs. LGLV - Expense Ratio Comparison

SPTM has a 0.03% expense ratio, which is lower than LGLV's 0.12% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


LGLV
SPDR SSGA US Large Cap Low Volatility Index ETF
Expense ratio chart for LGLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for SPTM: 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%

Risk-Adjusted Performance

SPTM vs. LGLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) and SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV). 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 SPTM, currently valued at 2.15, compared to the broader market0.002.004.002.152.08
The chart of Sortino ratio for SPTM, currently valued at 2.87, compared to the broader market-2.000.002.004.006.008.0010.002.872.86
The chart of Omega ratio for SPTM, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.37
The chart of Calmar ratio for SPTM, currently valued at 3.21, compared to the broader market0.005.0010.0015.003.212.76
The chart of Martin ratio for SPTM, currently valued at 13.89, compared to the broader market0.0020.0040.0060.0080.00100.0013.8910.88
SPTM
LGLV

The current SPTM Sharpe Ratio is 2.15, which is comparable to the LGLV Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of SPTM and LGLV, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.15
2.08
SPTM
LGLV

Dividends

SPTM vs. LGLV - Dividend Comparison

SPTM's dividend yield for the trailing twelve months is around 0.92%, less than LGLV's 1.92% yield.


TTM20232022202120202019201820172016201520142013
SPTM
SPDR Portfolio S&P 1500 Composite Stock Market ETF
0.92%1.44%1.69%1.25%1.56%1.71%1.90%1.66%1.91%1.92%2.08%1.63%
LGLV
SPDR SSGA US Large Cap Low Volatility Index ETF
1.92%2.03%1.95%1.65%1.98%1.89%2.09%4.39%2.54%2.97%7.14%2.99%

Drawdowns

SPTM vs. LGLV - Drawdown Comparison

The maximum SPTM drawdown since its inception was -54.80%, which is greater than LGLV's maximum drawdown of -36.64%. Use the drawdown chart below to compare losses from any high point for SPTM and LGLV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.75%
-6.01%
SPTM
LGLV

Volatility

SPTM vs. LGLV - Volatility Comparison

SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) has a higher volatility of 3.86% compared to SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV) at 3.22%. This indicates that SPTM's price experiences larger fluctuations and is considered to be riskier than LGLV 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%JulyAugustSeptemberOctoberNovemberDecember
3.86%
3.22%
SPTM
LGLV
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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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