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

Correlation

The correlation between SVAL and SPGP 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.


-0.50.00.51.00.8

Performance

SVAL vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares US Small Cap Value Factor ETF (SVAL) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%AugustSeptemberOctoberNovemberDecember2025
13.79%
4.59%
SVAL
SPGP

Key characteristics

Sharpe Ratio

SVAL:

0.45

SPGP:

0.71

Sortino Ratio

SVAL:

0.83

SPGP:

1.05

Omega Ratio

SVAL:

1.10

SPGP:

1.13

Calmar Ratio

SVAL:

0.91

SPGP:

1.09

Martin Ratio

SVAL:

2.09

SPGP:

3.11

Ulcer Index

SVAL:

4.89%

SPGP:

3.36%

Daily Std Dev

SVAL:

22.95%

SPGP:

14.79%

Max Drawdown

SVAL:

-25.30%

SPGP:

-42.08%

Current Drawdown

SVAL:

-10.37%

SPGP:

-5.40%

Returns By Period

In the year-to-date period, SVAL achieves a 0.03% return, which is significantly lower than SPGP's 1.11% return.


SVAL

YTD

0.03%

1M

-8.61%

6M

14.24%

1Y

10.26%

5Y*

N/A

10Y*

N/A

SPGP

YTD

1.11%

1M

-4.56%

6M

4.77%

1Y

11.84%

5Y*

12.37%

10Y*

14.09%

*Annualized

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SVAL vs. SPGP - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is lower than SPGP's 0.36% expense ratio.


Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for SVAL: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SVAL vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and Invesco S&P 500 GARP ETF (SPGP). 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 0.45, compared to the broader market0.002.004.000.450.71
The chart of Sortino ratio for SVAL, currently valued at 0.83, compared to the broader market-2.000.002.004.006.008.0010.000.831.05
The chart of Omega ratio for SVAL, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.13
The chart of Calmar ratio for SVAL, currently valued at 0.91, compared to the broader market0.005.0010.0015.000.911.09
The chart of Martin ratio for SVAL, currently valued at 2.09, compared to the broader market0.0020.0040.0060.0080.00100.002.093.11
SVAL
SPGP

The current SVAL Sharpe Ratio is 0.45, which is lower than the SPGP Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of SVAL and SPGP, 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 Ratio0.501.001.50AugustSeptemberOctoberNovemberDecember2025
0.45
0.71
SVAL
SPGP

Dividends

SVAL vs. SPGP - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 1.82%, more than SPGP's 1.36% yield.


TTM20242023202220212020201920182017201620152014
SVAL
iShares US Small Cap Value Factor ETF
1.82%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%0.00%
SPGP
Invesco S&P 500 GARP ETF
1.36%1.38%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%

Drawdowns

SVAL vs. SPGP - Drawdown Comparison

The maximum SVAL drawdown since its inception was -25.30%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for SVAL and SPGP. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-10.37%
-5.40%
SVAL
SPGP

Volatility

SVAL vs. SPGP - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 5.65% compared to Invesco S&P 500 GARP ETF (SPGP) at 4.26%. This indicates that SVAL's price experiences larger fluctuations and is considered to be riskier than SPGP 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%AugustSeptemberOctoberNovemberDecember2025
5.65%
4.26%
SVAL
SPGP