SVAL vs. VSCAX
SVAL (iShares US Small Cap Value Factor ETF) and VSCAX (Invesco Small Cap Value Fund) are both Small Cap Value Equities funds. Over the past 5 years, SVAL returned 6.47%/yr vs 19.56%/yr for VSCAX. Their correlation of 0.87 suggests significant overlap in exposure. SVAL charges 0.20%/yr vs 1.12%/yr for VSCAX.
Performance
SVAL vs. VSCAX - Performance Comparison
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Returns By Period
In the year-to-date period, SVAL achieves a 15.99% return, which is significantly lower than VSCAX's 31.33% return.
SVAL
- 1D
- -1.51%
- 1M
- 2.08%
- YTD
- 15.99%
- 6M
- 15.39%
- 1Y
- 34.88%
- 3Y*
- 17.30%
- 5Y*
- 6.47%
- 10Y*
- —
VSCAX
- 1D
- 3.55%
- 1M
- 7.75%
- YTD
- 31.33%
- 6M
- 33.12%
- 1Y
- 62.09%
- 3Y*
- 32.70%
- 5Y*
- 19.56%
- 10Y*
- 17.79%
SVAL vs. VSCAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 15.99% | 8.23% | 7.54% | 12.27% | -10.15% | 33.18% | 27.93% |
VSCAX Invesco Small Cap Value Fund | 31.33% | 17.70% | 24.54% | 22.84% | 4.31% | 36.34% | 32.65% |
Correlation
The correlation between SVAL and VSCAX is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2020 | 0.87 |
The correlation between SVAL and VSCAX has been stable across timeframes, ranging from 0.77 to 0.87 - a consistent structural relationship.
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Return for Risk
SVAL vs. VSCAX — Risk / Return Rank
SVAL
VSCAX
SVAL vs. VSCAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and Invesco Small Cap Value Fund (VSCAX). 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 | VSCAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.23 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.52 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 3.92 | 5.76 | -1.84 |
| Martin ratioReturn relative to average drawdown | 12.29 | 20.42 | -8.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SVAL | VSCAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.97 | 3.19 | -1.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | 0.85 | -0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.67 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.70 | 0.54 | +0.16 |
Drawdowns
SVAL vs. VSCAX - Drawdown Comparison
The maximum SVAL drawdown since its inception was -27.44%, smaller than the maximum VSCAX drawdown of -57.77%. Use the drawdown chart below to compare losses from any high point for SVAL and VSCAX.
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Drawdown Indicators
| SVAL | VSCAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.44% | -57.77% | +30.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -11.43% | +2.49% |
Max Drawdown (3Y)Largest decline over 3 years | -27.44% | -25.29% | -2.15% |
Max Drawdown (5Y)Largest decline over 5 years | -27.44% | -25.29% | -2.15% |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.77% | — |
Current DrawdownCurrent decline from peak | -1.51% | 0.00% | -1.51% |
Average DrawdownAverage peak-to-trough decline | -8.51% | -8.90% | +0.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.85% | 3.21% | -0.36% |
Volatility
SVAL vs. VSCAX - Volatility Comparison
The current volatility for iShares US Small Cap Value Factor ETF (SVAL) is 4.31%, while Invesco Small Cap Value Fund (VSCAX) has a volatility of 6.31%. This indicates that SVAL experiences smaller price fluctuations and is considered to be less risky than VSCAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SVAL | VSCAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.31% | 6.31% | -2.00% |
Volatility (6M)Calculated over the trailing 6-month period | 11.62% | 15.82% | -4.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.87% | 20.63% | -2.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.33% | 23.17% | -0.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.27% | 26.73% | -3.46% |
SVAL vs. VSCAX - Expense Ratio Comparison
SVAL has a 0.20% expense ratio, which is lower than VSCAX's 1.12% expense ratio.
Dividends
SVAL vs. VSCAX - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.27%, less than VSCAX's 7.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 2.27% | 2.33% | 1.82% | 2.25% | 2.09% | 2.33% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VSCAX Invesco Small Cap Value Fund | 7.02% | 9.22% | 7.90% | 4.93% | 10.12% | 16.90% | 0.30% | 2.53% | 28.45% | 16.65% | 1.71% | 11.08% |
Frequently Asked Questions
SVAL and VSCAX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VSCAX has higher volatility (6.31%) compared to SVAL (4.31%). In terms of maximum drawdown, SVAL dropped -27.44% vs VSCAX's -57.77%.
VSCAX currently has the higher Sharpe Ratio (3.19 vs 1.97), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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