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

Correlation

The correlation between SPVU and DE is 0.55, 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.


-0.50.00.51.00.6

Performance

SPVU vs. DE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Enhanced Value ETF (SPVU) and Deere & Company (DE). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
4.72%
18.02%
SPVU
DE

Key characteristics

Sharpe Ratio

SPVU:

1.05

DE:

0.46

Sortino Ratio

SPVU:

1.62

DE:

0.80

Omega Ratio

SPVU:

1.19

DE:

1.10

Calmar Ratio

SPVU:

1.44

DE:

0.50

Martin Ratio

SPVU:

4.84

DE:

1.57

Ulcer Index

SPVU:

3.00%

DE:

6.84%

Daily Std Dev

SPVU:

13.83%

DE:

23.50%

Max Drawdown

SPVU:

-48.05%

DE:

-73.27%

Current Drawdown

SPVU:

-8.63%

DE:

-7.12%

Returns By Period

In the year-to-date period, SPVU achieves a 14.16% return, which is significantly higher than DE's 9.46% return.


SPVU

YTD

14.16%

1M

-7.87%

6M

3.73%

1Y

14.32%

5Y*

7.94%

10Y*

N/A

DE

YTD

9.46%

1M

-3.09%

6M

18.03%

1Y

10.70%

5Y*

21.61%

10Y*

19.20%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

SPVU vs. DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Enhanced Value ETF (SPVU) and Deere & Company (DE). 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 SPVU, currently valued at 1.04, compared to the broader market0.002.004.001.040.46
The chart of Sortino ratio for SPVU, currently valued at 1.60, compared to the broader market-2.000.002.004.006.008.0010.001.600.80
The chart of Omega ratio for SPVU, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.10
The chart of Calmar ratio for SPVU, currently valued at 1.42, compared to the broader market0.005.0010.0015.001.420.50
The chart of Martin ratio for SPVU, currently valued at 4.69, compared to the broader market0.0020.0040.0060.0080.00100.004.691.57
SPVU
DE

The current SPVU Sharpe Ratio is 1.05, which is higher than the DE Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of SPVU and DE, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.04
0.46
SPVU
DE

Dividends

SPVU vs. DE - Dividend Comparison

SPVU's dividend yield for the trailing twelve months is around 2.72%, more than DE's 1.36% yield.


TTM20232022202120202019201820172016201520142013
SPVU
Invesco S&P 500® Enhanced Value ETF
2.72%3.04%2.49%2.30%2.70%2.23%2.47%2.37%1.11%0.54%0.00%0.00%
DE
Deere & Company
1.36%1.33%1.05%1.14%1.13%1.75%1.84%1.53%2.33%3.15%2.61%2.23%

Drawdowns

SPVU vs. DE - Drawdown Comparison

The maximum SPVU drawdown since its inception was -48.05%, smaller than the maximum DE drawdown of -73.27%. Use the drawdown chart below to compare losses from any high point for SPVU and DE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.63%
-7.12%
SPVU
DE

Volatility

SPVU vs. DE - Volatility Comparison

The current volatility for Invesco S&P 500® Enhanced Value ETF (SPVU) is 3.53%, while Deere & Company (DE) has a volatility of 6.97%. This indicates that SPVU experiences smaller price fluctuations and is considered to be less risky than DE 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%12.00%JulyAugustSeptemberOctoberNovemberDecember
3.53%
6.97%
SPVU
DE
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab