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SQLV vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SQLV and VOO is 0.56, 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

SQLV vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Legg Mason Small-Cap Quality Value ETF (SQLV) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
84.10%
174.87%
SQLV
VOO

Key characteristics

Sharpe Ratio

SQLV:

0.30

VOO:

2.25

Sortino Ratio

SQLV:

0.59

VOO:

2.98

Omega Ratio

SQLV:

1.07

VOO:

1.42

Calmar Ratio

SQLV:

0.61

VOO:

3.31

Martin Ratio

SQLV:

1.33

VOO:

14.77

Ulcer Index

SQLV:

4.51%

VOO:

1.90%

Daily Std Dev

SQLV:

19.97%

VOO:

12.46%

Max Drawdown

SQLV:

-48.35%

VOO:

-33.99%

Current Drawdown

SQLV:

-7.42%

VOO:

-2.47%

Returns By Period

In the year-to-date period, SQLV achieves a 4.10% return, which is significantly lower than VOO's 26.02% return.


SQLV

YTD

4.10%

1M

-4.25%

6M

10.86%

1Y

3.68%

5Y*

10.66%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


SQLV vs. VOO - Expense Ratio Comparison

SQLV has a 0.62% expense ratio, which is higher than VOO's 0.03% expense ratio.


SQLV
Legg Mason Small-Cap Quality Value ETF
Expense ratio chart for SQLV: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
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%

Risk-Adjusted Performance

SQLV vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Legg Mason Small-Cap Quality Value ETF (SQLV) 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 SQLV, currently valued at 0.30, compared to the broader market0.002.004.000.302.25
The chart of Sortino ratio for SQLV, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.000.592.98
The chart of Omega ratio for SQLV, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.42
The chart of Calmar ratio for SQLV, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.613.31
The chart of Martin ratio for SQLV, currently valued at 1.33, compared to the broader market0.0020.0040.0060.0080.00100.001.3314.77
SQLV
VOO

The current SQLV Sharpe Ratio is 0.30, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of SQLV 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.30
2.25
SQLV
VOO

Dividends

SQLV vs. VOO - Dividend Comparison

SQLV's dividend yield for the trailing twelve months is around 1.12%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
SQLV
Legg Mason Small-Cap Quality Value ETF
1.12%1.09%1.24%1.12%1.22%1.20%1.08%0.40%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SQLV vs. VOO - Drawdown Comparison

The maximum SQLV drawdown since its inception was -48.35%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SQLV and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.42%
-2.47%
SQLV
VOO

Volatility

SQLV vs. VOO - Volatility Comparison

Legg Mason Small-Cap Quality Value ETF (SQLV) has a higher volatility of 5.59% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that SQLV's price experiences larger fluctuations and is considered to be riskier than VOO 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%JulyAugustSeptemberOctoberNovemberDecember
5.59%
3.75%
SQLV
VOO
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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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