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TVAL vs. AVLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TVALAVLV
YTD Return20.28%21.58%
1Y Return29.51%31.84%
Sharpe Ratio3.112.73
Sortino Ratio4.373.81
Omega Ratio1.571.50
Calmar Ratio5.584.12
Martin Ratio21.1015.54
Ulcer Index1.51%2.25%
Daily Std Dev10.23%12.81%
Max Drawdown-9.81%-19.34%
Current Drawdown-0.85%-0.53%

Correlation

-0.50.00.51.00.9

The correlation between TVAL and AVLV 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

TVAL vs. AVLV - Performance Comparison

In the year-to-date period, TVAL achieves a 20.28% return, which is significantly lower than AVLV's 21.58% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.80%
9.90%
TVAL
AVLV

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TVAL vs. AVLV - Expense Ratio Comparison

TVAL has a 0.33% expense ratio, which is higher than AVLV's 0.15% expense ratio.


TVAL
T. Rowe Price Value ETF
Expense ratio chart for TVAL: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for AVLV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

TVAL vs. AVLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Value ETF (TVAL) and Avantis U.S. Large Cap Value ETF (AVLV). 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.


TVAL
Sharpe ratio
The chart of Sharpe ratio for TVAL, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Sortino ratio
The chart of Sortino ratio for TVAL, currently valued at 4.37, compared to the broader market-2.000.002.004.006.008.0010.0012.004.37
Omega ratio
The chart of Omega ratio for TVAL, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for TVAL, currently valued at 5.58, compared to the broader market0.005.0010.0015.005.58
Martin ratio
The chart of Martin ratio for TVAL, currently valued at 21.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.10
AVLV
Sharpe ratio
The chart of Sharpe ratio for AVLV, currently valued at 2.73, compared to the broader market-2.000.002.004.006.002.73
Sortino ratio
The chart of Sortino ratio for AVLV, currently valued at 3.81, compared to the broader market-2.000.002.004.006.008.0010.0012.003.81
Omega ratio
The chart of Omega ratio for AVLV, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for AVLV, currently valued at 4.12, compared to the broader market0.005.0010.0015.004.12
Martin ratio
The chart of Martin ratio for AVLV, currently valued at 15.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.54

TVAL vs. AVLV - Sharpe Ratio Comparison

The current TVAL Sharpe Ratio is 3.11, which is comparable to the AVLV Sharpe Ratio of 2.73. The chart below compares the historical Sharpe Ratios of TVAL and AVLV, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovember
3.11
2.73
TVAL
AVLV

Dividends

TVAL vs. AVLV - Dividend Comparison

TVAL's dividend yield for the trailing twelve months is around 0.53%, less than AVLV's 1.52% yield.


TTM202320222021
TVAL
T. Rowe Price Value ETF
0.53%0.64%0.00%0.00%
AVLV
Avantis U.S. Large Cap Value ETF
1.52%1.85%2.00%0.29%

Drawdowns

TVAL vs. AVLV - Drawdown Comparison

The maximum TVAL drawdown since its inception was -9.81%, smaller than the maximum AVLV drawdown of -19.34%. Use the drawdown chart below to compare losses from any high point for TVAL and AVLV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.85%
-0.53%
TVAL
AVLV

Volatility

TVAL vs. AVLV - Volatility Comparison

The current volatility for T. Rowe Price Value ETF (TVAL) is 3.54%, while Avantis U.S. Large Cap Value ETF (AVLV) has a volatility of 4.47%. This indicates that TVAL experiences smaller price fluctuations and is considered to be less risky than AVLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.54%
4.47%
TVAL
AVLV