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USMV vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


USMVSPY
YTD Return7.32%10.41%
1Y Return19.81%34.16%
3Y Return (Ann)8.04%11.38%
5Y Return (Ann)9.21%14.99%
10Y Return (Ann)10.96%12.96%
Sharpe Ratio2.312.93
Daily Std Dev8.63%11.54%
Max Drawdown-33.10%-55.19%
Current Drawdown0.00%0.00%

Correlation

0.87
-1.001.00

The correlation between USMV and SPY is 0.87, 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. SPY - Performance Comparison

In the year-to-date period, USMV achieves a 7.32% return, which is significantly lower than SPY's 10.41% return. Over the past 10 years, USMV has underperformed SPY with an annualized return of 10.96%, while SPY has yielded a comparatively higher 12.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


250.00%300.00%350.00%400.00%450.00%OctoberNovemberDecember2024FebruaryMarch
318.53%
442.39%
USMV
SPY

Compare stocks, funds, or ETFs


iShares Edge MSCI Min Vol USA ETF

SPDR S&P 500 ETF

USMV vs. SPY - Expense Ratio Comparison

USMV has a 0.15% expense ratio, which is higher than SPY's 0.09% expense ratio.

USMV
iShares Edge MSCI Min Vol USA ETF
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

USMV vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Min Vol USA ETF (USMV) and SPDR S&P 500 ETF (SPY). 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
SPY
SPDR S&P 500 ETF
2.93

USMV vs. SPY - Sharpe Ratio Comparison

The current USMV Sharpe Ratio is 2.31, which roughly equals the SPY Sharpe Ratio of 2.93. The chart below compares the 12-month rolling Sharpe Ratio of USMV and SPY.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50OctoberNovemberDecember2024FebruaryMarch
2.31
2.93
USMV
SPY

Dividends

USMV vs. SPY - Dividend Comparison

USMV's dividend yield for the trailing twelve months is around 1.75%, more than SPY's 1.28% 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%
SPY
SPDR S&P 500 ETF
1.28%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

USMV vs. SPY - Drawdown Comparison

The maximum USMV drawdown since its inception was -33.10%, smaller than the maximum SPY drawdown of -55.19%. The drawdown chart below compares losses from any high point along the way for USMV and SPY


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
USMV
SPY

Volatility

USMV vs. SPY - Volatility Comparison

The current volatility for iShares Edge MSCI Min Vol USA ETF (USMV) is 1.91%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.75%. This indicates that USMV experiences smaller price fluctuations and is considered to be less risky than SPY 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%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
1.91%
2.75%
USMV
SPY