PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
SQLV vs. XSVM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SQLV vs. XSVM

Last updated Jun 24, 2026

SQLV (Royce Quant Small-Cap Quality Value ETF) and XSVM (Invesco S&P SmallCap Value with Momentum ETF) are both exchange-traded funds - SQLV is a Small Cap Value Equities fund actively managed by Franklin Templeton, while XSVM is a Momentum fund tracking the S&P SmallCap 600 High Momentum Value Index. SQLV is actively managed, while XSVM is passively managed. Over the past 5 years, SQLV returned 7.15%/yr vs 7.87%/yr for XSVM. A 0.74 correlation means they provide meaningful diversification when combined. SQLV charges 0.60%/yr vs 0.37%/yr for XSVM.

Performance

SQLV vs. XSVM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royce Quant Small-Cap Quality Value ETF (SQLV) and Invesco S&P SmallCap Value with Momentum ETF (XSVM). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, SQLV achieves a 16.34% return, which is significantly lower than XSVM's 20.98% return.

SQLV

1D
0.83%
1M
3.63%
YTD
16.34%
6M
15.01%
1Y
28.84%
3Y*
13.42%
5Y*
7.15%
10Y*
—

XSVM

1D
0.77%
1M
3.66%
YTD
20.98%
6M
18.82%
1Y
37.12%
3Y*
17.66%
5Y*
7.87%
10Y*
13.32%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SQLV vs. XSVM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
SQLV
Royce Quant Small-Cap Quality Value ETF		16.34%2.50%4.76%21.21%-12.86%37.14%7.13%17.41%-10.55%8.84%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		20.98%7.47%2.30%20.20%-13.63%56.36%5.08%30.01%-12.33%7.57%

Correlation

The correlation between SQLV and XSVM is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.89

Correlation (3Y)
Calculated over the trailing 3-year period

0.92

Correlation (5Y)
Calculated over the trailing 5-year period

0.88

Correlation (All Time)
Calculated using the full available price history since Jul 13, 2017

0.74

The correlation between SQLV and XSVM shifts across timeframes, from 0.74 (all time) to 0.92 (3 years), reflecting how their relationship changes across market environments.

SQLV vs. XSVM - Sectors Allocation Comparison

Sectors
SQLV
XSVM

Financial Services

19.4%
38.7%

Healthcare

18.5%
1.1%

Technology

16.9%
9.5%

Consumer Cyclical

13.2%
17.4%

Industrials

10.9%
6.3%

Consumer Defensive

7.2%
6.9%

Communication Services

4.6%
2.8%

Energy

4.4%
9.3%

Basic Materials

3.4%
2.0%

Real Estate

0.9%
4.8%

Utilities

0.6%
1.2%

Financial Services

SQLV
19.4%
XSVM
38.7%

Healthcare

SQLV
18.5%
XSVM
1.1%

Technology

SQLV
16.9%
XSVM
9.5%

Consumer Cyclical

SQLV
13.2%
XSVM
17.4%

Industrials

SQLV
10.9%
XSVM
6.3%

Consumer Defensive

SQLV
7.2%
XSVM
6.9%

Communication Services

SQLV
4.6%
XSVM
2.8%

Energy

SQLV
4.4%
XSVM
9.3%

Basic Materials

SQLV
3.4%
XSVM
2.0%

Real Estate

SQLV
0.9%
XSVM
4.8%

Utilities

SQLV
0.6%
XSVM
1.2%

Compare stocks, funds, or ETFs

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

Royce Quant Small-Cap Quality Value ETF

Invesco S&P SmallCap Value with Momentum ETF

Often compared with SQLV:
SQLV vs. RYSEXSQLV vs. CALFSQLV vs. XMESQLV vs. QQQSQLV vs. ROSCSQLV vs. VOOSQLV vs. SPYI.DE
Often compared with XSVM:
XSVM vs. XSMOXSVM vs. AVUVXSVM vs. RWJXSVM vs. XSHQXSVM vs. SPHBXSVM vs. DGRSXSVM vs. RYPRX

Return for Risk

SQLV vs. XSVM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SQLV
SQLV Risk / Return Rank: 5656
Overall Rank
SQLV Sharpe Ratio Rank: 5151
Sharpe Ratio Rank
SQLV Sortino Ratio Rank: 5454
Sortino Ratio Rank
SQLV Omega Ratio Rank: 4646
Omega Ratio Rank
SQLV Calmar Ratio Rank: 7070
Calmar Ratio Rank
SQLV Martin Ratio Rank: 5959
Martin Ratio Rank
XSVM
XSVM Risk / Return Rank: 6767
Overall Rank
XSVM Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
XSVM Sortino Ratio Rank: 6767
Sortino Ratio Rank
XSVM Omega Ratio Rank: 6262
Omega Ratio Rank
XSVM Calmar Ratio Rank: 7676
Calmar Ratio Rank
XSVM Martin Ratio Rank: 6666
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SQLV vs. XSVM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Quant Small-Cap Quality Value ETF (SQLV) and Invesco S&P SmallCap Value with Momentum ETF (XSVM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

SQLVXSVMDifference
Sharpe ratioReturn per unit of total volatility
1.64
2.03

-0.39

Sortino ratioReturn per unit of downside risk
2.40
2.93

-0.53

Omega ratioGain probability vs. loss probability

1.28

1.36

-0.08

Calmar ratioReturn relative to maximum drawdown

3.28

3.70

-0.42

Martin ratioReturn relative to average drawdown

9.82

11.45

-1.63

SQLV vs. XSVM - Sharpe Ratio Comparison

The current SQLV Sharpe Ratio is 1.64, which is comparable to the XSVM Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of SQLV and XSVM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

SQLV vs. XSVM - Drawdown Comparison

The maximum SQLV drawdown since its inception was -48.34%, smaller than the maximum XSVM drawdown of -62.57%. Use the drawdown chart below to compare losses from any high point for SQLV and XSVM.

Loading charts...

Drawdown Indicators

SQLVXSVMDifference

Max Drawdown

Largest peak-to-trough decline

-48.34%

-62.57%

+14.23%

Max Drawdown (1Y)

Largest decline over 1 year

-8.84%

-10.08%

+1.24%

Max Drawdown (3Y)

Largest decline over 3 years

-26.86%

-26.21%

-0.65%

Max Drawdown (5Y)

Largest decline over 5 years

-26.86%

-26.21%

-0.65%

Max Drawdown (10Y)

Largest decline over 10 years

—

-49.02%

—

Current Drawdown

Current decline from peak

-0.96%

-0.73%

-0.23%

Average Drawdown

Average peak-to-trough decline

-8.90%

-11.54%

+2.64%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.95%

3.25%

-0.30%

Volatility

SQLV vs. XSVM - Volatility Comparison

Royce Quant Small-Cap Quality Value ETF (SQLV) and Invesco S&P SmallCap Value with Momentum ETF (XSVM) have volatilities of 4.55% and 4.63%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

SQLVXSVMDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.55%

4.63%

-0.08%

Volatility (6M)

Calculated over the trailing 6-month period

11.56%

12.28%

-0.72%

Volatility (1Y)

Calculated over the trailing 1-year period

17.69%

18.54%

-0.85%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.98%

22.55%

-1.57%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.32%

25.07%

-1.75%

SQLV vs. XSVM - Expense Ratio Comparison

SQLV has a 0.60% expense ratio, which is higher than XSVM's 0.37% expense ratio.

Dividends

SQLV vs. XSVM - Dividend Comparison

SQLV's dividend yield for the trailing twelve months is around 1.01%, less than XSVM's 1.82% yield.

PositionTTM20252024202320222021202020192018201720162015
SQLV
Royce Quant Small-Cap Quality Value ETF		1.01%1.15%1.11%1.09%1.24%1.12%1.22%1.20%1.08%0.40%0.00%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		1.82%2.29%1.69%1.31%1.79%1.23%1.21%1.22%2.54%1.90%2.29%2.68%

Frequently Asked Questions

SQLV and XSVM have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

XSVM has higher volatility (4.63%) compared to SQLV (4.55%). In terms of maximum drawdown, SQLV dropped -48.34% vs XSVM's -62.57%.

On 5-year performance, XSVM leads with 7.87% vs 7.15% for SQLV. On fees, XSVM is cheaper at 0.37% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, XSVM has performed better with a 7.87% return vs 7.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

XSVM is cheaper with a 0.37% expense ratio, compared with 0.60% for SQLV.

XSVM has the higher dividend yield at 1.82%, compared with 1.01% for SQLV.

SQLV is categorized as Small Cap Value Equities, while XSVM is Momentum. They also come from different issuers: Franklin Templeton and Invesco. Their fees differ too: 0.60% for SQLV and 0.37% for XSVM.

XSVM currently has the higher Sharpe Ratio (2.03 vs 1.64), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for SQLV and XSVM

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer