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

Key characteristics


SVALXSVM
YTD Return-5.13%0.20%
1Y Return15.48%22.33%
3Y Return (Ann)-0.02%5.47%
Sharpe Ratio0.661.03
Daily Std Dev22.28%20.41%
Max Drawdown-25.29%-62.57%
Current Drawdown-7.39%-5.06%

Correlation

-0.50.00.51.00.9

The correlation between SVAL and XSVM is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

SVAL vs. XSVM - Performance Comparison

In the year-to-date period, SVAL achieves a -5.13% return, which is significantly lower than XSVM's 0.20% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%NovemberDecember2024FebruaryMarchApril
17.14%
20.10%
SVAL
XSVM

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

SVAL vs. XSVM - Expense Ratio Comparison

SVAL has a 0.20% expense ratio, which is lower than XSVM's 0.39% expense ratio.


XSVM
Invesco S&P SmallCap Value with Momentum ETF
Expense ratio chart for XSVM: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for SVAL: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SVAL vs. XSVM - Risk-Adjusted Performance 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.


SVAL
Sharpe ratio
The chart of Sharpe ratio for SVAL, currently valued at 0.66, compared to the broader market-1.000.001.002.003.004.000.66
Sortino ratio
The chart of Sortino ratio for SVAL, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.001.16
Omega ratio
The chart of Omega ratio for SVAL, currently valued at 1.13, compared to the broader market1.001.502.001.13
Calmar ratio
The chart of Calmar ratio for SVAL, currently valued at 0.58, compared to the broader market0.002.004.006.008.0010.000.58
Martin ratio
The chart of Martin ratio for SVAL, currently valued at 2.31, compared to the broader market0.0010.0020.0030.0040.0050.0060.002.31
XSVM
Sharpe ratio
The chart of Sharpe ratio for XSVM, currently valued at 1.03, compared to the broader market-1.000.001.002.003.004.001.03
Sortino ratio
The chart of Sortino ratio for XSVM, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.001.64
Omega ratio
The chart of Omega ratio for XSVM, currently valued at 1.19, compared to the broader market1.001.502.001.19
Calmar ratio
The chart of Calmar ratio for XSVM, currently valued at 0.88, compared to the broader market0.002.004.006.008.0010.000.88
Martin ratio
The chart of Martin ratio for XSVM, currently valued at 4.94, compared to the broader market0.0010.0020.0030.0040.0050.0060.004.94

SVAL vs. XSVM - Sharpe Ratio Comparison

The current SVAL Sharpe Ratio is 0.66, which is lower than the XSVM Sharpe Ratio of 1.03. The chart below compares the 12-month rolling Sharpe Ratio of SVAL and XSVM.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.66
1.03
SVAL
XSVM

Dividends

SVAL vs. XSVM - Dividend Comparison

SVAL's dividend yield for the trailing twelve months is around 2.34%, more than XSVM's 1.50% yield.


TTM20232022202120202019201820172016201520142013
SVAL
iShares US Small Cap Value Factor ETF
2.34%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF
1.50%1.31%1.79%1.23%1.21%1.21%2.54%1.90%2.29%2.68%1.31%1.15%

Drawdowns

SVAL vs. XSVM - Drawdown Comparison

The maximum SVAL drawdown since its inception was -25.29%, 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. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.39%
-5.06%
SVAL
XSVM

Volatility

SVAL vs. XSVM - Volatility Comparison

iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 6.07% compared to Invesco S&P SmallCap Value with Momentum ETF (XSVM) at 4.97%. This indicates that SVAL's price experiences larger fluctuations and is considered to be riskier than XSVM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
6.07%
4.97%
SVAL
XSVM