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SVAL vs. XSVM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SVAL vs. XSVM

Last updated Jun 23, 2026

SVAL (iShares US Small Cap Value Factor ETF) and XSVM (Invesco S&P SmallCap Value with Momentum ETF) are both exchange-traded funds - SVAL is a Small Cap Value Equities fund tracking the Russell 2000 Focused Value Select Index, while XSVM is a Momentum fund tracking the S&P SmallCap 600 High Momentum Value Index. Both are passively managed. Over the past 5 years, SVAL returned 8.07%/yr vs 8.01%/yr for XSVM. Their correlation of 0.93 suggests significant overlap in exposure. SVAL charges 0.20%/yr vs 0.37%/yr for XSVM.

Performance

SVAL vs. XSVM - 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 SmallCap Value with Momentum ETF (XSVM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both investments are quite close, with SVAL having a 19.19% return and XSVM slightly higher at 20.07%.

SVAL

1D
0.07%
1M
2.76%
YTD
19.19%
6M
16.40%
1Y
38.96%
3Y*
18.73%
5Y*
8.07%
10Y*
—

XSVM

1D
-0.05%
1M
2.87%
YTD
20.07%
6M
17.31%
1Y
39.24%
3Y*
17.36%
5Y*
8.01%
10Y*
13.24%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SVAL vs. XSVM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
SVAL
iShares US Small Cap Value Factor ETF		19.19%8.23%7.54%12.27%-10.15%33.18%29.82%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		20.07%7.47%2.30%20.20%-13.63%56.36%27.49%

Correlation

The correlation between SVAL and XSVM is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.94

Correlation (3Y)
Calculated over the trailing 3-year period

0.94

Correlation (5Y)
Calculated over the trailing 5-year period

0.95

Correlation (All Time)
Calculated using the full available price history since Oct 29, 2020

0.93

The correlation between SVAL and XSVM has been stable across timeframes, ranging from 0.93 to 0.95 - a consistent structural relationship.

SVAL vs. XSVM - Sectors Allocation Comparison

Sectors
SVAL
XSVM

Financial Services

23.2%
38.7%

Industrials

15.2%
6.3%

Consumer Cyclical

12.9%
17.4%

Technology

12.1%
9.5%

Healthcare

10.2%
1.1%

Energy

8.3%
9.3%

Basic Materials

5.6%
2.0%

Consumer Defensive

4.0%
6.9%

Utilities

3.6%
1.2%

Real Estate

3.1%
4.8%

Communication Services

1.0%
2.8%

Financial Services

SVAL
23.2%
XSVM
38.7%

Industrials

SVAL
15.2%
XSVM
6.3%

Consumer Cyclical

SVAL
12.9%
XSVM
17.4%

Technology

SVAL
12.1%
XSVM
9.5%

Healthcare

SVAL
10.2%
XSVM
1.1%

Energy

SVAL
8.3%
XSVM
9.3%

Basic Materials

SVAL
5.6%
XSVM
2.0%

Consumer Defensive

SVAL
4.0%
XSVM
6.9%

Utilities

SVAL
3.6%
XSVM
1.2%

Real Estate

SVAL
3.1%
XSVM
4.8%

Communication Services

SVAL
1.0%
XSVM
2.8%

Compare stocks, funds, or ETFs

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

iShares US Small Cap Value Factor ETF

Invesco S&P SmallCap Value with Momentum ETF

Often compared with SVAL:
SVAL vs. AVUVSVAL vs. SPYVSVAL vs. SLYVSVAL vs. IJSSVAL vs. IWOSVAL vs. SCHDSVAL vs. VDC
Often compared with XSVM:
XSVM vs. XSMOXSVM vs. AVUVXSVM vs. RWJXSVM vs. XSHQXSVM vs. SPHBXSVM vs. DGRSXSVM vs. RYPRX

Return for Risk

SVAL vs. XSVM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SVAL
SVAL Risk / Return Rank: 7474
Overall Rank
SVAL Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
SVAL Sortino Ratio Rank: 7474
Sortino Ratio Rank
SVAL Omega Ratio Rank: 6767
Omega Ratio Rank
SVAL Calmar Ratio Rank: 8484
Calmar Ratio Rank
SVAL Martin Ratio Rank: 7575
Martin Ratio Rank
XSVM
XSVM Risk / Return Rank: 7070
Overall Rank
XSVM Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
XSVM Sortino Ratio Rank: 7070
Sortino Ratio Rank
XSVM Omega Ratio Rank: 6464
Omega Ratio Rank
XSVM Calmar Ratio Rank: 7878
Calmar Ratio Rank
XSVM Martin Ratio Rank: 6868
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SVAL vs. XSVM - 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 S&P SmallCap Value with Momentum ETF (XSVM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

SVALXSVMDifference
Sharpe ratioReturn per unit of total volatility
2.20
2.13

+0.07

Sortino ratioReturn per unit of downside risk
3.17
3.06

+0.11

Omega ratioGain probability vs. loss probability

1.38

1.37

+0.01

Calmar ratioReturn relative to maximum drawdown

4.38

3.91

+0.47

Martin ratioReturn relative to average drawdown

13.78

12.10

+1.68

SVAL vs. XSVM - Sharpe Ratio Comparison

The current SVAL Sharpe Ratio is 2.20, which is comparable to the XSVM Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of SVAL and XSVM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

SVAL vs. XSVM - Drawdown Comparison

The maximum SVAL drawdown since its inception was -27.44%, smaller than the maximum XSVM drawdown of -62.57%. Use the drawdown chart below to compare losses from any high point for SVAL and XSVM.

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Drawdown Indicators

SVALXSVMDifference

Max Drawdown

Largest peak-to-trough decline

-27.44%

-62.57%

+35.13%

Max Drawdown (1Y)

Largest decline over 1 year

-8.94%

-10.08%

+1.14%

Max Drawdown (3Y)

Largest decline over 3 years

-27.44%

-26.21%

-1.23%

Max Drawdown (5Y)

Largest decline over 5 years

-27.44%

-26.21%

-1.23%

Max Drawdown (10Y)

Largest decline over 10 years

—

-49.02%

—

Current Drawdown

Current decline from peak

-1.71%

-1.49%

-0.22%

Average Drawdown

Average peak-to-trough decline

-8.44%

-11.54%

+3.10%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.83%

3.25%

-0.42%

Volatility

SVAL vs. XSVM - Volatility Comparison

The current volatility for iShares US Small Cap Value Factor ETF (SVAL) is 4.02%, while Invesco S&P SmallCap Value with Momentum ETF (XSVM) has a volatility of 4.60%. This indicates that SVAL experiences smaller price fluctuations and is considered to be less risky than XSVM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

SVALXSVMDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.02%

4.60%

-0.58%

Volatility (6M)

Calculated over the trailing 6-month period

11.70%

12.27%

-0.57%

Volatility (1Y)

Calculated over the trailing 1-year period

17.85%

18.57%

-0.72%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.24%

22.55%

-0.31%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.22%

25.09%

-1.87%

SVAL vs. XSVM - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is lower than XSVM's 0.37% expense ratio.

Dividends

SVAL vs. XSVM - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 2.14%, less than XSVM's 2.23% yield.

PositionTTM20252024202320222021202020192018201720162015
SVAL
iShares US Small Cap Value Factor ETF		2.14%2.33%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		2.23%2.29%1.69%1.31%1.79%1.23%1.21%1.22%2.54%1.90%2.29%2.68%

Frequently Asked Questions

With a correlation of 0.94, SVAL and XSVM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

XSVM has higher volatility (4.60%) compared to SVAL (4.02%). In terms of maximum drawdown, SVAL dropped -27.44% vs XSVM's -62.57%.

On 5-year performance, SVAL leads with 8.07% vs 8.01% for XSVM. On fees, SVAL is cheaper at 0.20% per year. On volatility, SVAL has been the lower-risk option at 4.02%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SVAL has performed better with a 8.07% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SVAL is cheaper with a 0.20% expense ratio, compared with 0.37% for XSVM.

XSVM has the higher dividend yield at 2.23%, compared with 2.14% for SVAL.

SVAL is categorized as Small Cap Value Equities, while XSVM is Momentum. SVAL tracks Russell 2000 Focused Value Select Index, while XSVM tracks S&P SmallCap 600 High Momentum Value Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.20% for SVAL and 0.37% for XSVM.

SVAL currently has the higher Sharpe Ratio (2.20 vs 2.13), 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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