PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VLU vs. AOA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VLU vs. AOA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Value Tilt ETF (VLU) and iShares Core Aggressive Allocation ETF (AOA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.00%
6.31%
VLU
AOA

Returns By Period

In the year-to-date period, VLU achieves a 20.67% return, which is significantly higher than AOA's 14.33% return. Over the past 10 years, VLU has outperformed AOA with an annualized return of 14.50%, while AOA has yielded a comparatively lower 7.76% annualized return.


VLU

YTD

20.67%

1M

2.58%

6M

11.00%

1Y

29.70%

5Y (annualized)

14.09%

10Y (annualized)

14.50%

AOA

YTD

14.33%

1M

-0.70%

6M

6.31%

1Y

20.52%

5Y (annualized)

8.81%

10Y (annualized)

7.76%

Key characteristics


VLUAOA
Sharpe Ratio2.642.11
Sortino Ratio3.682.95
Omega Ratio1.491.38
Calmar Ratio4.883.16
Martin Ratio16.5813.41
Ulcer Index1.76%1.51%
Daily Std Dev11.08%9.62%
Max Drawdown-37.38%-28.38%
Current Drawdown-1.28%-1.72%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VLU vs. AOA - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is lower than AOA'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%.


AOA
iShares Core Aggressive Allocation ETF
Expense ratio chart for AOA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VLU: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Correlation

-0.50.00.51.00.7

The correlation between VLU and AOA is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

VLU vs. AOA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Value Tilt ETF (VLU) and iShares Core Aggressive Allocation ETF (AOA). 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 ratio
The chart of Sharpe ratio for VLU, currently valued at 2.64, compared to the broader market0.002.004.002.642.11
The chart of Sortino ratio for VLU, currently valued at 3.68, compared to the broader market-2.000.002.004.006.008.0010.0012.003.682.95
The chart of Omega ratio for VLU, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.38
The chart of Calmar ratio for VLU, currently valued at 4.88, compared to the broader market0.005.0010.0015.004.883.16
The chart of Martin ratio for VLU, currently valued at 16.58, compared to the broader market0.0020.0040.0060.0080.00100.0016.5813.41
VLU
AOA

The current VLU Sharpe Ratio is 2.64, which is comparable to the AOA Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of VLU and AOA, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.64
2.11
VLU
AOA

Dividends

VLU vs. AOA - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.86%, less than AOA's 2.11% yield.


TTM20232022202120202019201820172016201520142013
VLU
SPDR S&P 1500 Value Tilt ETF
1.86%2.02%2.16%1.86%1.98%2.19%2.57%1.95%2.14%6.37%5.42%3.41%
AOA
iShares Core Aggressive Allocation ETF
2.11%2.22%2.10%1.67%1.71%2.50%2.37%5.09%2.02%2.15%2.18%1.84%

Drawdowns

VLU vs. AOA - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, which is greater than AOA's maximum drawdown of -28.38%. Use the drawdown chart below to compare losses from any high point for VLU and AOA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.28%
-1.72%
VLU
AOA

Volatility

VLU vs. AOA - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) has a higher volatility of 4.19% compared to iShares Core Aggressive Allocation ETF (AOA) at 2.68%. This indicates that VLU's price experiences larger fluctuations and is considered to be riskier than AOA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
2.68%
VLU
AOA