PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
USMV vs. SPLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


USMVSPLV
YTD Return7.32%5.37%
1Y Return19.81%10.10%
3Y Return (Ann)8.04%6.32%
5Y Return (Ann)9.21%6.82%
10Y Return (Ann)10.96%9.29%
Sharpe Ratio2.311.08
Daily Std Dev8.63%9.58%
Max Drawdown-33.10%-36.26%
Current Drawdown0.00%-1.06%

Correlation

0.92
-1.001.00

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.

Performance

USMV vs. SPLV - Performance Comparison

In the year-to-date period, USMV achieves a 7.32% return, which is significantly higher than SPLV's 5.37% return. Over the past 10 years, USMV has outperformed SPLV with an annualized return of 10.96%, while SPLV has yielded a comparatively lower 9.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%220.00%240.00%260.00%280.00%300.00%320.00%OctoberNovemberDecember2024FebruaryMarch
318.53%
255.98%
USMV
SPLV

Compare stocks, funds, or ETFs


iShares Edge MSCI Min Vol USA ETF

Invesco S&P 500® Low Volatility ETF

USMV vs. SPLV - Expense Ratio Comparison

USMV has a 0.15% expense ratio, which is lower than SPLV's 0.25% expense ratio.

SPLV
Invesco S&P 500® Low Volatility ETF
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.15%

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
USMV
iShares Edge MSCI Min Vol USA ETF
2.31
SPLV
Invesco S&P 500® Low Volatility ETF
1.08

USMV vs. SPLV - Sharpe Ratio Comparison

The current USMV Sharpe Ratio is 2.31, which is higher than the SPLV Sharpe Ratio of 1.08. The chart below compares the 12-month rolling Sharpe Ratio of USMV and SPLV.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.31
1.08
USMV
SPLV

Dividends

USMV vs. SPLV - Dividend Comparison

USMV's dividend yield for the trailing twelve months is around 1.75%, less than SPLV's 2.35% yield.


TTM20232022202120202019201820172016201520142013
USMV
iShares Edge MSCI Min Vol USA ETF
1.75%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
2.35%2.45%2.11%1.51%2.12%2.08%2.18%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%. The drawdown chart below compares losses from any high point along the way for USMV and SPLV


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch0
-1.06%
USMV
SPLV

Volatility

USMV vs. SPLV - Volatility Comparison

The current volatility for iShares Edge MSCI Min Vol USA ETF (USMV) is 1.91%, while Invesco S&P 500® Low Volatility ETF (SPLV) has a volatility of 2.03%. This indicates that USMV experiences smaller price fluctuations and is considered to be less risky than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%OctoberNovemberDecember2024FebruaryMarch
1.91%
2.03%
USMV
SPLV