SVAL vs. XSVM
Compare and contrast key facts about iShares US Small Cap Value Factor ETF (SVAL) and Invesco S&P SmallCap Value with Momentum ETF (XSVM).
SVAL and XSVM 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. XSVM is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Index. It was launched on Mar 3, 2005. Both SVAL and XSVM 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 XSVM.
Key characteristics
| SVAL | XSVM | |
|---|---|---|
| YTD Return | 18.40% | 12.02% |
| 1Y Return | 41.45% | 30.22% |
| 3Y Return (Ann) | 5.12% | 3.79% |
| Sharpe Ratio | 1.78 | 1.43 |
| Sortino Ratio | 2.71 | 2.22 |
| Omega Ratio | 1.33 | 1.26 |
| Calmar Ratio | 2.34 | 2.19 |
| Martin Ratio | 7.74 | 5.85 |
| Ulcer Index | 5.52% | 5.49% |
| Daily Std Dev | 24.12% | 22.48% |
| Max Drawdown | -25.30% | -62.57% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
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 18.40% return, which is significantly higher than XSVM's 12.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SVAL vs. XSVM - Expense Ratio Comparison
SVAL has a 0.20% expense ratio, which is lower than XSVM's 0.39% expense ratio.
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.
Dividends
SVAL vs. XSVM - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.18%, more than XSVM's 1.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 2.18% | 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 | 1.52% | 1.31% | 1.79% | 1.23% | 1.21% | 1.22% | 2.54% | 1.90% | 2.29% | 2.68% | 1.32% | 1.15% |
Drawdowns
SVAL vs. XSVM - Drawdown Comparison
The maximum SVAL drawdown since its inception was -25.30%, 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.
Volatility
SVAL vs. XSVM - Volatility Comparison
iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 10.65% compared to Invesco S&P SmallCap Value with Momentum ETF (XSVM) at 9.70%. 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.