SVAL vs. VWO
Compare and contrast key facts about iShares US Small Cap Value Factor ETF (SVAL) and Vanguard FTSE Emerging Markets ETF (VWO).
SVAL and VWO 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. VWO is a passively managed fund by Vanguard that tracks the performance of the FTSE Emerging Index. It was launched on Mar 4, 2005. Both SVAL and VWO 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 VWO.
Key characteristics
| SVAL | VWO | |
|---|---|---|
| YTD Return | 16.91% | 12.13% |
| 1Y Return | 39.55% | 19.33% |
| 3Y Return (Ann) | 4.67% | -1.23% |
| Sharpe Ratio | 1.65 | 1.31 |
| Sortino Ratio | 2.54 | 1.90 |
| Omega Ratio | 1.31 | 1.24 |
| Calmar Ratio | 2.18 | 0.80 |
| Martin Ratio | 7.18 | 7.26 |
| Ulcer Index | 5.52% | 2.69% |
| Daily Std Dev | 24.11% | 14.95% |
| Max Drawdown | -25.30% | -67.68% |
| Current Drawdown | -1.26% | -9.74% |
Correlation
The correlation between SVAL and VWO is 0.49, 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.
Performance
SVAL vs. VWO - Performance Comparison
In the year-to-date period, SVAL achieves a 16.91% return, which is significantly higher than VWO's 12.13% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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. VWO - Expense Ratio Comparison
SVAL has a 0.20% expense ratio, which is higher than VWO'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%.
Risk-Adjusted Performance
SVAL vs. VWO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) and Vanguard FTSE Emerging Markets ETF (VWO). 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. VWO - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.21%, less than VWO's 2.64% 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% |
VWO Vanguard FTSE Emerging Markets ETF | 2.64% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
Drawdowns
SVAL vs. VWO - Drawdown Comparison
The maximum SVAL drawdown since its inception was -25.30%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for SVAL and VWO. For additional features, visit the drawdowns tool.
Volatility
SVAL vs. VWO - Volatility Comparison
iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 10.79% compared to Vanguard FTSE Emerging Markets ETF (VWO) at 5.08%. This indicates that SVAL's price experiences larger fluctuations and is considered to be riskier than VWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.