SPYV vs. SVAL
Compare and contrast key facts about SPDR Portfolio S&P 500 Value ETF (SPYV) and iShares US Small Cap Value Factor ETF (SVAL).
SPYV and SVAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPYV is a passively managed fund by State Street that tracks the performance of the S&P 500 Value. It was launched on Sep 25, 2000. SVAL is a passively managed fund by iShares that tracks the performance of the Russell 2000 Focused Value Select Index. It was launched on Oct 27, 2020. Both SPYV and SVAL are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPYV or SVAL.
Key characteristics
| SPYV | SVAL | |
|---|---|---|
| YTD Return | 17.35% | 10.02% |
| 1Y Return | 31.75% | 27.93% |
| 3Y Return (Ann) | 12.35% | 4.82% |
| Sharpe Ratio | 3.06 | 1.34 |
| Sortino Ratio | 4.24 | 2.03 |
| Omega Ratio | 1.55 | 1.24 |
| Calmar Ratio | 2.94 | 1.42 |
| Martin Ratio | 18.19 | 5.40 |
| Ulcer Index | 1.76% | 5.57% |
| Daily Std Dev | 10.48% | 22.51% |
| Max Drawdown | -58.45% | -25.30% |
| Current Drawdown | 0.00% | -0.72% |
Correlation
The correlation between SPYV and SVAL is 0.82, 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.
Performance
SPYV vs. SVAL - Performance Comparison
In the year-to-date period, SPYV achieves a 17.35% return, which is significantly higher than SVAL's 10.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SPYV vs. SVAL - Expense Ratio Comparison
SPYV has a 0.04% expense ratio, which is lower than SVAL's 0.20% 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%.
Risk-Adjusted Performance
SPYV vs. SVAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 500 Value ETF (SPYV) and iShares US Small Cap Value Factor ETF (SVAL). 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.
Dividends
SPYV vs. SVAL - Dividend Comparison
SPYV's dividend yield for the trailing twelve months is around 1.95%, less than SVAL's 2.35% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPYV SPDR Portfolio S&P 500 Value ETF | 1.95% | 1.75% | 2.22% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
SVAL iShares US Small Cap Value Factor ETF | 2.35% | 2.25% | 2.09% | 2.33% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
SPYV vs. SVAL - Drawdown Comparison
The maximum SPYV drawdown since its inception was -58.45%, which is greater than SVAL's maximum drawdown of -25.30%. Use the drawdown chart below to compare losses from any high point for SPYV and SVAL. For additional features, visit the drawdowns tool.
Volatility
SPYV vs. SVAL - Volatility Comparison
The current volatility for SPDR Portfolio S&P 500 Value ETF (SPYV) is 2.45%, while iShares US Small Cap Value Factor ETF (SVAL) has a volatility of 5.48%. This indicates that SPYV experiences smaller price fluctuations and is considered to be less risky than SVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.