SVAL vs. VGK
Compare and contrast key facts about iShares US Small Cap Value Factor ETF (SVAL) and Vanguard FTSE Europe ETF (VGK).
SVAL and VGK 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. VGK is a passively managed fund by Vanguard that tracks the performance of the FTSE Developed Europe Index. It was launched on Mar 4, 2005. Both SVAL and VGK are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
SVAL vs. VGK - Performance Comparison
Loading graphics...
SVAL vs. VGK - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 5.02% | 8.23% | 7.54% | 12.27% | -10.15% | 33.18% | 27.93% |
VGK Vanguard FTSE Europe ETF | -0.95% | 35.83% | 1.88% | 20.19% | -15.98% | 16.89% | 21.84% |
Returns By Period
In the year-to-date period, SVAL achieves a 5.02% return, which is significantly higher than VGK's -0.95% return.
SVAL
- 1D
- 1.72%
- 1M
- -3.70%
- YTD
- 5.02%
- 6M
- 8.88%
- 1Y
- 22.99%
- 3Y*
- 12.96%
- 5Y*
- 5.40%
- 10Y*
- —
VGK
- 1D
- 3.21%
- 1M
- -8.16%
- YTD
- -0.95%
- 6M
- 4.76%
- 1Y
- 21.14%
- 3Y*
- 14.29%
- 5Y*
- 8.68%
- 10Y*
- 8.96%
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. VGK - Expense Ratio Comparison
SVAL has a 0.20% expense ratio, which is higher than VGK's 0.08% 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%.
Return for Risk
SVAL vs. VGK — Risk / Return Rank
SVAL
VGK
SVAL vs. VGK - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and Vanguard FTSE Europe ETF (VGK). 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 | VGK | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.03 | 1.21 | -0.18 |
Sortino ratioReturn per unit of downside risk | 1.54 | 1.73 | -0.19 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.24 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.71 | 1.64 | +0.07 |
Martin ratioReturn relative to average drawdown | 5.92 | 6.32 | -0.40 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| SVAL | VGK | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.03 | 1.21 | -0.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.49 | -0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.48 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.63 | 0.26 | +0.36 |
Correlation
The correlation between SVAL and VGK is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
SVAL vs. VGK - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.50%, less than VGK's 3.00% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 2.50% | 2.33% | 1.82% | 2.25% | 2.09% | 2.33% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VGK Vanguard FTSE Europe ETF | 3.00% | 2.86% | 3.61% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% |
Drawdowns
SVAL vs. VGK - Drawdown Comparison
The maximum SVAL drawdown since its inception was -27.44%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for SVAL and VGK.
Loading graphics...
Drawdown Indicators
| SVAL | VGK | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.44% | -63.61% | +36.17% |
Max Drawdown (1Y)Largest decline over 1 year | -13.52% | -12.09% | -1.43% |
Max Drawdown (5Y)Largest decline over 5 years | -27.44% | -32.74% | +5.30% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.24% | — |
Current DrawdownCurrent decline from peak | -5.64% | -8.48% | +2.84% |
Average DrawdownAverage peak-to-trough decline | -8.76% | -13.43% | +4.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.90% | 3.14% | +0.76% |
Volatility
SVAL vs. VGK - Volatility Comparison
The current volatility for iShares US Small Cap Value Factor ETF (SVAL) is 5.71%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 7.72%. This indicates that SVAL experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| SVAL | VGK | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.71% | 7.72% | -2.01% |
Volatility (6M)Calculated over the trailing 6-month period | 12.70% | 10.96% | +1.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.45% | 17.62% | +4.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.51% | 17.72% | +4.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.50% | 18.88% | +4.62% |