SVAL vs. ECML

Last updated Aug 2, 2026

SVAL (iShares US Small Cap Value Factor ETF) and ECML (Euclidean Fundamental Value ETF) are both Small Cap Value Equities funds. SVAL is passively managed, while ECML is actively managed. Over the past 3 years, SVAL returned 16.07%/yr vs 12.03%/yr for ECML. Their correlation of 0.85 means they have usually moved in the same direction. SVAL charges 0.20%/yr vs 0.95%/yr for ECML.

Performance

SVAL vs. ECML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares US Small Cap Value Factor ETF (SVAL) and Euclidean Fundamental Value ETF (ECML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SVAL achieves a 25.30% return, which is significantly higher than ECML's 19.84% return.

SVAL

• 1D: 0.26%
• 1M: 2.62%
• 6M: 17.08%
• YTD: 25.30%
• 1Y: 43.73%
• 3Y*: 16.07%
• 5Y*: 9.86%
• 10Y*: —
• ALL TIME*: 17.62%

ECML

• 1D: -0.08%
• 1M: 2.28%
• 6M: 13.37%
• YTD: 19.84%
• 1Y: 32.00%
• 3Y*: 12.03%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 16.95%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ECML Euclidean Fundamental Value ETF	$548.16K	$300.59K	$261.72K
SVAL iShares US Small Cap Value Factor ETF	$620.93K	$633.76K	$608.86K

SVAL vs. ECML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
SVAL iShares US Small Cap Value Factor ETF	25.30%	8.23%	7.54%	24.48%
ECML Euclidean Fundamental Value ETF	19.84%	6.82%	2.37%	26.00%

Correlation

The correlation between SVAL and ECML is 0.81, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.81
Correlation (3Y) Balances recent behavior with more history.	0.84
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.85

The correlation between SVAL and ECML has been stable across timeframes, ranging from 0.81 to 0.85 - a consistent structural relationship.

SVAL vs. ECML - Sectors Allocation Comparison

Sectors	SVAL	ECML
Financial Services	22.7%	-
Industrials	12.9%	13.0%
Healthcare	12.0%	14.4%
Consumer Cyclical	11.8%	24.6%
Technology	10.4%	7.6%
Energy	10.0%	13.2%
Real Estate	4.7%	-
Basic Materials	4.7%	11.6%
Consumer Defensive	4.3%	12.3%
Utilities	3.4%	1.4%
Communication Services	3.0%	3.3%

Return for Risk

SVAL vs. ECML — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SVAL

SVAL Risk / Return Rank: 92
SVAL Sharpe Ratio Rank: 92
SVAL Sortino Ratio Rank: 93
SVAL Omega Ratio Rank: 91
SVAL Calmar Ratio Rank: 93
SVAL Martin Ratio Rank: 92

ECML

ECML Risk / Return Rank: 90
ECML Sharpe Ratio Rank: 90
ECML Sortino Ratio Rank: 92
ECML Omega Ratio Rank: 86
ECML Calmar Ratio Rank: 93
ECML Martin Ratio Rank: 88

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SVAL vs. ECML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and Euclidean Fundamental Value ETF (ECML). 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.

	SVAL	ECML	Difference
Sharpe ratio: Return per unit of total volatility	2.41	2.23	+0.19
Sortino ratio: Return per unit of downside risk	3.51	3.40	+0.11
Omega ratio: Gain probability vs. loss probability	1.42	1.38	+0.04
Calmar ratio: Return relative to maximum drawdown	4.59	4.46	+0.13
Martin ratio: Return relative to average drawdown	15.49	13.07	+2.42

SVAL vs. ECML - Sharpe Ratio Comparison

The current SVAL Sharpe Ratio is 2.41, which is comparable to the ECML Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of SVAL and ECML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SVAL vs. ECML - Drawdown Comparison

The maximum SVAL drawdown since its inception was -27.44%, which is greater than ECML's maximum drawdown of -24.66%. Use the drawdown chart below to compare losses from any high point for SVAL and ECML.

Drawdown Indicators

	SVAL	ECML	Difference
Max Drawdown Largest peak-to-trough decline	-27.44%	-24.66%	-2.78%
Max Drawdown (1Y) Largest decline over 1 year	-8.94%	-7.01%	-1.93%
Max Drawdown (3Y) Largest decline over 3 years	-27.44%	-24.66%	-2.78%
Max Drawdown (5Y) Largest decline over 5 years	-27.44%	—	—
Current Drawdown Current decline from peak	-0.79%	-1.11%	+0.32%
Average Drawdown Average peak-to-trough decline	-8.29%	-5.62%	-2.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	2.39%	+0.25%

Volatility

SVAL vs. ECML - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) and Euclidean Fundamental Value ETF (ECML) have volatilities of 3.19% and 3.32%, 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.

Volatility by Period

	SVAL	ECML	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.19%	3.32%	-0.13%
Volatility (6M) Calculated over the trailing 6-month period	10.99%	9.21%	+1.78%
Volatility (1Y) Calculated over the trailing 1-year period	17.03%	14.05%	+2.98%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.01%	18.12%	+3.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.04%	18.12%	+4.92%

SVAL vs. ECML - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is lower than ECML's 0.95% expense ratio.

Dividends

SVAL vs. ECML - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 2.04%, more than ECML's 1.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
ECML Euclidean Fundamental Value ETF	1.15%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%
SVAL iShares US Small Cap Value Factor ETF	2.04%	2.33%	1.82%	2.25%	2.09%	2.33%	0.28%

Frequently Asked Questions

Can I hold both SVAL and ECML in my portfolio?

SVAL and ECML have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SVAL or ECML?

ECML has higher volatility (3.32%) compared to SVAL (3.19%). In terms of maximum drawdown, SVAL dropped -27.44% vs ECML's -24.66%.

Which ETF is better, SVAL or ECML?

On 3-year performance, SVAL leads with 16.07% vs 12.03% for ECML. On fees, SVAL is cheaper at 0.20% per year. On volatility, SVAL has been the lower-risk option at 3.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SVAL or ECML?

Over the 3-year period, SVAL has performed better with a 16.07% return vs 12.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SVAL or ECML?

SVAL is cheaper with a 0.20% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, SVAL or ECML?

SVAL has the higher dividend yield at 2.04%, compared with 1.15% for ECML.

What is the main difference between SVAL and ECML?

They also come from different issuers: iShares and Euclidean. Their fees differ too: 0.20% for SVAL and 0.95% for ECML.

Which has better risk-adjusted returns?

SVAL currently has the higher Sharpe Ratio (2.41 vs 2.23), 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.