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SVAL vs. VWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SVAL and VWO 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.


-0.50.00.51.0
Correlation: 0.6

Performance

SVAL vs. VWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares US Small Cap Value Factor ETF (SVAL) and Vanguard FTSE Emerging Markets ETF (VWO). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%NovemberDecember2025FebruaryMarchApril
62.10%
16.56%
SVAL
VWO

Key characteristics

Sharpe Ratio

SVAL:

-0.08

VWO:

0.62

Sortino Ratio

SVAL:

0.06

VWO:

0.99

Omega Ratio

SVAL:

1.01

VWO:

1.13

Calmar Ratio

SVAL:

-0.08

VWO:

0.59

Martin Ratio

SVAL:

-0.22

VWO:

1.96

Ulcer Index

SVAL:

9.75%

VWO:

5.80%

Daily Std Dev

SVAL:

25.54%

VWO:

18.50%

Max Drawdown

SVAL:

-27.44%

VWO:

-67.68%

Current Drawdown

SVAL:

-21.42%

VWO:

-9.21%

Returns By Period

In the year-to-date period, SVAL achieves a -12.30% return, which is significantly lower than VWO's 1.99% return.


SVAL

YTD

-12.30%

1M

-7.00%

6M

-10.24%

1Y

-0.95%

5Y*

N/A

10Y*

N/A

VWO

YTD

1.99%

1M

-2.01%

6M

-2.21%

1Y

10.69%

5Y*

8.34%

10Y*

2.96%

*Annualized

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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%.


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%
Expense ratio chart for VWO: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VWO: 0.08%

Risk-Adjusted Performance

SVAL vs. VWO — 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 1515
Overall Rank
The Sharpe Ratio Rank of SVAL is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of SVAL is 1616
Sortino Ratio Rank
The Omega Ratio Rank of SVAL is 1616
Omega Ratio Rank
The Calmar Ratio Rank of SVAL is 1414
Calmar Ratio Rank
The Martin Ratio Rank of SVAL is 1616
Martin Ratio Rank

VWO
The Risk-Adjusted Performance Rank of VWO is 6363
Overall Rank
The Sharpe Ratio Rank of VWO is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of VWO is 6464
Sortino Ratio Rank
The Omega Ratio Rank of VWO is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VWO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VWO is 5858
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. 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.


The chart of Sharpe ratio for SVAL, currently valued at -0.08, compared to the broader market-1.000.001.002.003.004.00
SVAL: -0.08
VWO: 0.62
The chart of Sortino ratio for SVAL, currently valued at 0.06, compared to the broader market-2.000.002.004.006.008.00
SVAL: 0.06
VWO: 0.99
The chart of Omega ratio for SVAL, currently valued at 1.01, compared to the broader market0.501.001.502.002.50
SVAL: 1.01
VWO: 1.13
The chart of Calmar ratio for SVAL, currently valued at -0.08, compared to the broader market0.002.004.006.008.0010.0012.00
SVAL: -0.08
VWO: 0.59
The chart of Martin ratio for SVAL, currently valued at -0.22, compared to the broader market0.0020.0040.0060.00
SVAL: -0.22
VWO: 1.96

The current SVAL Sharpe Ratio is -0.08, which is lower than the VWO Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of SVAL and VWO, 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-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
-0.08
0.62
SVAL
VWO

Dividends

SVAL vs. VWO - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 1.55%, less than VWO's 3.16% yield.


TTM20242023202220212020201920182017201620152014
SVAL
iShares US Small Cap Value Factor ETF
1.55%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%0.00%
VWO
Vanguard FTSE Emerging Markets ETF
3.16%3.20%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%

Drawdowns

SVAL vs. VWO - Drawdown Comparison

The maximum SVAL drawdown since its inception was -27.44%, 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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-21.42%
-9.21%
SVAL
VWO

Volatility

SVAL vs. VWO - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 13.72% compared to Vanguard FTSE Emerging Markets ETF (VWO) at 11.02%. 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.


4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.72%
11.02%
SVAL
VWO