SVAL vs. SPGP
Compare and contrast key facts about iShares US Small Cap Value Factor ETF (SVAL) and Invesco S&P 500 GARP ETF (SPGP).
SVAL and SPGP are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SVAL is a passively managed fund by iShares that tracks the performance of the Russell 2000 Focused Value Select Index. It was launched on Oct 27, 2020. SPGP is a passively managed fund by Invesco that tracks the performance of the S&P 500 GARP Index. It was launched on Jun 16, 2011. Both SVAL and SPGP are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVAL or SPGP.
Key characteristics
| SVAL | SPGP | |
|---|---|---|
| YTD Return | 16.91% | 13.41% |
| 1Y Return | 39.55% | 23.66% |
| 3Y Return (Ann) | 4.67% | 6.47% |
| Sharpe Ratio | 1.65 | 1.58 |
| Sortino Ratio | 2.54 | 2.22 |
| Omega Ratio | 1.31 | 1.28 |
| Calmar Ratio | 2.18 | 2.46 |
| Martin Ratio | 7.18 | 7.43 |
| Ulcer Index | 5.52% | 3.17% |
| Daily Std Dev | 24.11% | 14.94% |
| Max Drawdown | -25.30% | -42.08% |
| Current Drawdown | -1.26% | -0.81% |
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.
Performance
SVAL vs. SPGP - Performance Comparison
In the year-to-date period, SVAL achieves a 16.91% return, which is significantly higher than SPGP's 13.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
SVAL vs. SPGP - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.21%, more than SPGP's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 2.21% | 2.25% | 2.09% | 2.33% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPGP Invesco S&P 500 GARP ETF | 1.31% | 1.24% | 1.22% | 0.69% | 1.10% | 0.86% | 0.95% | 0.68% | 0.89% | 1.12% | 1.52% | 2.11% |
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.
Volatility
SVAL vs. SPGP - Volatility Comparison
iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 10.79% compared to Invesco S&P 500 GARP ETF (SPGP) at 5.45%. 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.