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

Correlation

The correlation between SVAL and SLYV is 0.95, 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.


-0.50.00.51.0
Correlation: 1.0

Performance

SVAL vs. SLYV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares US Small Cap Value Factor ETF (SVAL) and SPDR S&P 600 Small Cap Value ETF (SLYV). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
53.37%
46.63%
SVAL
SLYV

Key characteristics

Sharpe Ratio

SVAL:

-0.36

SLYV:

-0.48

Sortino Ratio

SVAL:

-0.37

SLYV:

-0.54

Omega Ratio

SVAL:

0.95

SLYV:

0.93

Calmar Ratio

SVAL:

-0.34

SLYV:

-0.42

Martin Ratio

SVAL:

-1.09

SLYV:

-1.54

Ulcer Index

SVAL:

7.97%

SLYV:

6.78%

Daily Std Dev

SVAL:

23.98%

SLYV:

21.64%

Max Drawdown

SVAL:

-25.65%

SLYV:

-61.32%

Current Drawdown

SVAL:

-25.65%

SLYV:

-25.04%

Returns By Period

In the year-to-date period, SVAL achieves a -17.02% return, which is significantly higher than SLYV's -18.89% return.


SVAL

YTD

-17.02%

1M

-11.83%

6M

-15.51%

1Y

-7.93%

5Y*

N/A

10Y*

N/A

SLYV

YTD

-18.89%

1M

-13.17%

6M

-16.66%

1Y

-9.79%

5Y*

16.04%

10Y*

5.70%

*Annualized

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SVAL vs. SLYV - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is higher than SLYV's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for SVAL: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SVAL: 0.20%
Expense ratio chart for SLYV: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SLYV: 0.15%

Risk-Adjusted Performance

SVAL vs. SLYV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SVAL
The Risk-Adjusted Performance Rank of SVAL is 1313
Overall Rank
The Sharpe Ratio Rank of SVAL is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of SVAL is 1313
Sortino Ratio Rank
The Omega Ratio Rank of SVAL is 1313
Omega Ratio Rank
The Calmar Ratio Rank of SVAL is 1313
Calmar Ratio Rank
The Martin Ratio Rank of SVAL is 1313
Martin Ratio Rank

SLYV
The Risk-Adjusted Performance Rank of SLYV is 88
Overall Rank
The Sharpe Ratio Rank of SLYV is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of SLYV is 88
Sortino Ratio Rank
The Omega Ratio Rank of SLYV is 88
Omega Ratio Rank
The Calmar Ratio Rank of SLYV is 99
Calmar Ratio Rank
The Martin Ratio Rank of SLYV is 66
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SVAL vs. SLYV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and SPDR S&P 600 Small Cap Value ETF (SLYV). 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.


The chart of Sharpe ratio for SVAL, currently valued at -0.36, compared to the broader market-1.000.001.002.003.004.005.00
SVAL: -0.36
SLYV: -0.48
The chart of Sortino ratio for SVAL, currently valued at -0.37, compared to the broader market-2.000.002.004.006.008.0010.00
SVAL: -0.37
SLYV: -0.54
The chart of Omega ratio for SVAL, currently valued at 0.95, compared to the broader market0.501.001.502.002.50
SVAL: 0.95
SLYV: 0.93
The chart of Calmar ratio for SVAL, currently valued at -0.34, compared to the broader market0.005.0010.0015.00
SVAL: -0.34
SLYV: -0.42
The chart of Martin ratio for SVAL, currently valued at -1.09, compared to the broader market0.0020.0040.0060.0080.00
SVAL: -1.09
SLYV: -1.54

The current SVAL Sharpe Ratio is -0.36, which is comparable to the SLYV Sharpe Ratio of -0.48. The chart below compares the historical Sharpe Ratios of SVAL and SLYV, 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 Ratio-0.500.000.501.001.50NovemberDecember2025FebruaryMarchApril
-0.36
-0.48
SVAL
SLYV

Dividends

SVAL vs. SLYV - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 1.64%, less than SLYV's 2.86% yield.


TTM20242023202220212020201920182017201620152014
SVAL
iShares US Small Cap Value Factor ETF
1.64%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%0.00%
SLYV
SPDR S&P 600 Small Cap Value ETF
2.86%2.30%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%

Drawdowns

SVAL vs. SLYV - Drawdown Comparison

The maximum SVAL drawdown since its inception was -25.65%, smaller than the maximum SLYV drawdown of -61.32%. Use the drawdown chart below to compare losses from any high point for SVAL and SLYV. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-25.65%
-25.04%
SVAL
SLYV

Volatility

SVAL vs. SLYV - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) and SPDR S&P 600 Small Cap Value ETF (SLYV) have volatilities of 10.46% and 10.25%, 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.


4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.46%
10.25%
SVAL
SLYV