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SVAL vs. IWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SVALIWO
YTD Return-5.90%1.38%
1Y Return13.06%13.21%
3Y Return (Ann)0.29%-4.85%
Sharpe Ratio0.630.75
Daily Std Dev22.22%19.71%
Max Drawdown-25.29%-60.10%
Current Drawdown-8.14%-22.63%

Correlation

0.77
-1.001.00

The correlation between SVAL and IWO is 0.77, 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

SVAL vs. IWO - Performance Comparison

In the year-to-date period, SVAL achieves a -5.90% return, which is significantly lower than IWO's 1.38% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
12.81%
19.02%
SVAL
IWO

Compare stocks, funds, or ETFs


iShares US Small Cap Value Factor ETF

iShares Russell 2000 Growth ETF

SVAL vs. IWO - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is lower than IWO's 0.24% expense ratio.

IWO
iShares Russell 2000 Growth ETF
0.50%1.00%1.50%2.00%0.24%
0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SVAL vs. IWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and iShares Russell 2000 Growth ETF (IWO). 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.


SVAL
Sharpe ratio
The Sharpe ratio of SVAL compared to the broader market0.002.004.000.63
Sortino ratio
The Sortino ratio of SVAL compared to the broader market-2.000.002.004.006.008.0010.001.12
Omega ratio
The Omega ratio of SVAL compared to the broader market1.001.502.002.501.12
Calmar ratio
The Calmar ratio of SVAL compared to the broader market0.002.004.006.008.0010.0012.000.55
Martin ratio
The Martin ratio of SVAL compared to the broader market0.0020.0040.0060.0080.002.22
IWO
Sharpe ratio
The Sharpe ratio of IWO compared to the broader market0.002.004.000.75
Sortino ratio
The Sortino ratio of IWO compared to the broader market-2.000.002.004.006.008.0010.001.21
Omega ratio
The Omega ratio of IWO compared to the broader market1.001.502.002.501.13
Calmar ratio
The Calmar ratio of IWO compared to the broader market0.002.004.006.008.0010.0012.000.39
Martin ratio
The Martin ratio of IWO compared to the broader market0.0020.0040.0060.0080.002.03

SVAL vs. IWO - Sharpe Ratio Comparison

The current SVAL Sharpe Ratio is 0.63, which roughly equals the IWO Sharpe Ratio of 0.75. The chart below compares the 12-month rolling Sharpe Ratio of SVAL and IWO.


Rolling 12-month Sharpe Ratio-0.500.000.501.00NovemberDecember2024FebruaryMarchApril
0.63
0.75
SVAL
IWO

Dividends

SVAL vs. IWO - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 2.36%, more than IWO's 0.68% yield.


TTM20232022202120202019201820172016201520142013
SVAL
iShares US Small Cap Value Factor ETF
2.36%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWO
iShares Russell 2000 Growth ETF
0.68%0.73%0.75%0.32%0.44%0.71%0.76%0.73%0.97%0.89%0.73%0.72%

Drawdowns

SVAL vs. IWO - Drawdown Comparison

The maximum SVAL drawdown since its inception was -25.29%, smaller than the maximum IWO drawdown of -60.10%. The drawdown chart below compares losses from any high point along the way for SVAL and IWO


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-8.14%
-22.63%
SVAL
IWO

Volatility

SVAL vs. IWO - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 6.75% compared to iShares Russell 2000 Growth ETF (IWO) at 5.55%. This indicates that SVAL's price experiences larger fluctuations and is considered to be riskier than IWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
6.75%
5.55%
SVAL
IWO