USMV vs. SPLV
Compare and contrast key facts about iShares Edge MSCI Min Vol USA ETF (USMV) and Invesco S&P 500® Low Volatility ETF (SPLV).
USMV and SPLV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. SPLV is a passively managed fund by Invesco that tracks the performance of the S&P 500 Low Volatility Index. It was launched on May 5, 2011. Both USMV and SPLV 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: USMV or SPLV.
Performance
USMV vs. SPLV - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with USMV having a 18.28% return and SPLV slightly lower at 17.98%. Over the past 10 years, USMV has outperformed SPLV with an annualized return of 10.65%, while SPLV has yielded a comparatively lower 9.28% annualized return.
USMV
18.28%
-1.67%
9.30%
24.20%
9.17%
10.65%
SPLV
17.98%
-0.31%
10.96%
22.52%
7.10%
9.28%
Key characteristics
| USMV | SPLV | |
|---|---|---|
| Sharpe Ratio | 2.86 | 2.47 |
| Sortino Ratio | 4.01 | 3.44 |
| Omega Ratio | 1.53 | 1.45 |
| Calmar Ratio | 4.84 | 2.35 |
| Martin Ratio | 18.65 | 16.41 |
| Ulcer Index | 1.30% | 1.39% |
| Daily Std Dev | 8.47% | 9.21% |
| Max Drawdown | -33.10% | -36.26% |
| Current Drawdown | -2.48% | -1.05% |
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USMV vs. SPLV - Expense Ratio Comparison
USMV has a 0.15% expense ratio, which is lower than SPLV's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between USMV and SPLV 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.
Risk-Adjusted Performance
USMV vs. SPLV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Min Vol USA ETF (USMV) and Invesco S&P 500® Low Volatility ETF (SPLV). 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
USMV vs. SPLV - Dividend Comparison
USMV's dividend yield for the trailing twelve months is around 1.64%, less than SPLV's 1.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
USMV iShares Edge MSCI Min Vol USA ETF | 1.64% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
SPLV Invesco S&P 500® Low Volatility ETF | 1.90% | 2.45% | 2.11% | 1.50% | 2.13% | 2.08% | 2.17% | 2.03% | 2.03% | 2.28% | 2.20% | 2.60% |
Drawdowns
USMV vs. SPLV - Drawdown Comparison
The maximum USMV drawdown since its inception was -33.10%, smaller than the maximum SPLV drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for USMV and SPLV. For additional features, visit the drawdowns tool.
Volatility
USMV vs. SPLV - Volatility Comparison
iShares Edge MSCI Min Vol USA ETF (USMV) has a higher volatility of 3.09% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 2.92%. This indicates that USMV's price experiences larger fluctuations and is considered to be riskier than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.