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

Correlation

The correlation between SVAL and SPGP is 0.78, 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: 0.8

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%-5.00%0.00%5.00%10.00%NovemberDecember2025FebruaryMarchApril
-12.12%
-10.87%
SVAL
SPGP

Key characteristics

Sharpe Ratio

SVAL:

-0.19

SPGP:

-0.56

Sortino Ratio

SVAL:

-0.11

SPGP:

-0.65

Omega Ratio

SVAL:

0.99

SPGP:

0.92

Calmar Ratio

SVAL:

-0.20

SPGP:

-0.62

Martin Ratio

SVAL:

-0.58

SPGP:

-2.01

Ulcer Index

SVAL:

7.80%

SPGP:

4.83%

Daily Std Dev

SVAL:

23.67%

SPGP:

17.31%

Max Drawdown

SVAL:

-25.29%

SPGP:

-42.08%

Current Drawdown

SVAL:

-22.67%

SPGP:

-15.61%

Returns By Period

In the year-to-date period, SVAL achieves a -13.69% return, which is significantly lower than SPGP's -9.81% return.


SVAL

YTD

-13.69%

1M

-8.45%

6M

-11.01%

1Y

-5.01%

5Y*

N/A

10Y*

N/A

SPGP

YTD

-9.81%

1M

-6.26%

6M

-9.78%

1Y

-10.14%

5Y*

18.93%

10Y*

12.26%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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 is 0.36%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPGP: 0.36%
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%

Risk-Adjusted Performance

SVAL vs. SPGP — 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 1212
Overall Rank
The Sharpe Ratio Rank of SVAL is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of SVAL is 1212
Sortino Ratio Rank
The Omega Ratio Rank of SVAL is 1212
Omega Ratio Rank
The Calmar Ratio Rank of SVAL is 1111
Calmar Ratio Rank
The Martin Ratio Rank of SVAL is 1111
Martin Ratio Rank

SPGP
The Risk-Adjusted Performance Rank of SPGP is 22
Overall Rank
The Sharpe Ratio Rank of SPGP is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of SPGP is 44
Sortino Ratio Rank
The Omega Ratio Rank of SPGP is 33
Omega Ratio Rank
The Calmar Ratio Rank of SPGP is 11
Calmar Ratio Rank
The Martin Ratio Rank of SPGP is 00
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. 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 -0.19, compared to the broader market0.002.004.00
SVAL: -0.19
SPGP: -0.56
The chart of Sortino ratio for SVAL, currently valued at -0.11, compared to the broader market-2.000.002.004.006.008.0010.0012.00
SVAL: -0.11
SPGP: -0.65
The chart of Omega ratio for SVAL, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.00
SVAL: 0.99
SPGP: 0.92
The chart of Calmar ratio for SVAL, currently valued at -0.20, compared to the broader market0.005.0010.0015.00
SVAL: -0.20
SPGP: -0.62
The chart of Martin ratio for SVAL, currently valued at -0.58, compared to the broader market0.0020.0040.0060.0080.00100.00
SVAL: -0.58
SPGP: -2.01

The current SVAL Sharpe Ratio is -0.19, which is higher than the SPGP Sharpe Ratio of -0.56. 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 Ratio-0.500.000.501.001.50NovemberDecember2025FebruaryMarchApril
-0.19
-0.56
SVAL
SPGP

Dividends

SVAL vs. SPGP - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 1.57%, less than SPGP's 1.62% yield.


TTM20242023202220212020201920182017201620152014
SVAL
iShares US Small Cap Value Factor ETF
1.57%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
1.62%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 -25.29%, 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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-22.67%
-15.61%
SVAL
SPGP

Volatility

SVAL vs. SPGP - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 9.84% compared to Invesco S&P 500 GARP ETF (SPGP) at 9.28%. 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%NovemberDecember2025FebruaryMarchApril
9.84%
9.28%
SVAL
SPGP