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

Correlation

The correlation between SPYV and SPYG is 0.75, 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

SPYV vs. SPYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P 500 Value ETF (SPYV) and SPDR Portfolio S&P 500 Growth ETF (SPYG). The values are adjusted to include any dividend payments, if applicable.

300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
468.80%
379.83%
SPYV
SPYG

Key characteristics

Sharpe Ratio

SPYV:

1.48

SPYG:

2.25

Sortino Ratio

SPYV:

2.12

SPYG:

2.89

Omega Ratio

SPYV:

1.26

SPYG:

1.41

Calmar Ratio

SPYV:

1.98

SPYG:

3.08

Martin Ratio

SPYV:

7.61

SPYG:

12.14

Ulcer Index

SPYV:

1.97%

SPYG:

3.24%

Daily Std Dev

SPYV:

10.13%

SPYG:

17.49%

Max Drawdown

SPYV:

-58.45%

SPYG:

-67.79%

Current Drawdown

SPYV:

-6.39%

SPYG:

-2.45%

Returns By Period

In the year-to-date period, SPYV achieves a 12.79% return, which is significantly lower than SPYG's 37.65% return. Over the past 10 years, SPYV has underperformed SPYG with an annualized return of 9.88%, while SPYG has yielded a comparatively higher 15.23% annualized return.


SPYV

YTD

12.79%

1M

-4.64%

6M

6.32%

1Y

13.50%

5Y*

10.62%

10Y*

9.88%

SPYG

YTD

37.65%

1M

3.29%

6M

11.66%

1Y

37.77%

5Y*

17.47%

10Y*

15.23%

Compare stocks, funds, or ETFs

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


SPYV vs. SPYG - Expense Ratio Comparison

Both SPYV and SPYG have an expense ratio of 0.04%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SPYV
SPDR Portfolio S&P 500 Value ETF
Expense ratio chart for SPYV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SPYV vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 500 Value ETF (SPYV) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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 SPYV, currently valued at 1.48, compared to the broader market0.002.004.001.482.25
The chart of Sortino ratio for SPYV, currently valued at 2.12, compared to the broader market-2.000.002.004.006.008.0010.002.122.89
The chart of Omega ratio for SPYV, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.41
The chart of Calmar ratio for SPYV, currently valued at 1.98, compared to the broader market0.005.0010.0015.001.983.08
The chart of Martin ratio for SPYV, currently valued at 7.61, compared to the broader market0.0020.0040.0060.0080.00100.007.6112.14
SPYV
SPYG

The current SPYV Sharpe Ratio is 1.48, which is lower than the SPYG Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of SPYV and SPYG, 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
1.48
2.25
SPYV
SPYG

Dividends

SPYV vs. SPYG - Dividend Comparison

SPYV's dividend yield for the trailing twelve months is around 1.58%, more than SPYG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
SPYV
SPDR Portfolio S&P 500 Value ETF
1.58%1.75%2.23%2.10%2.38%2.25%2.97%2.77%2.39%2.53%2.19%1.96%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.40%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

SPYV vs. SPYG - Drawdown Comparison

The maximum SPYV drawdown since its inception was -58.45%, smaller than the maximum SPYG drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for SPYV and SPYG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.39%
-2.45%
SPYV
SPYG

Volatility

SPYV vs. SPYG - Volatility Comparison

The current volatility for SPDR Portfolio S&P 500 Value ETF (SPYV) is 3.50%, while SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 4.80%. This indicates that SPYV experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.50%
4.80%
SPYV
SPYG
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