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

Correlation

The correlation between VLU and AVUS is 0.95, 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.


-0.50.00.51.01.0

Performance

VLU vs. AVUS - Performance Comparison

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

80.00%90.00%100.00%110.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
97.30%
108.76%
VLU
AVUS

Key characteristics

Sharpe Ratio

VLU:

1.75

AVUS:

1.74

Sortino Ratio

VLU:

2.44

AVUS:

2.37

Omega Ratio

VLU:

1.32

AVUS:

1.32

Calmar Ratio

VLU:

3.15

AVUS:

2.61

Martin Ratio

VLU:

10.25

AVUS:

10.33

Ulcer Index

VLU:

1.91%

AVUS:

2.19%

Daily Std Dev

VLU:

11.21%

AVUS:

13.02%

Max Drawdown

VLU:

-37.38%

AVUS:

-37.04%

Current Drawdown

VLU:

-5.28%

AVUS:

-4.48%

Returns By Period

In the year-to-date period, VLU achieves a 17.43% return, which is significantly lower than AVUS's 20.71% return.


VLU

YTD

17.43%

1M

-3.61%

6M

8.55%

1Y

18.00%

5Y*

12.74%

10Y*

13.79%

AVUS

YTD

20.71%

1M

-1.55%

6M

8.65%

1Y

21.26%

5Y*

13.92%

10Y*

N/A

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. AVUS - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is lower than AVUS's 0.15% 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%.


AVUS
Avantis U.S. Equity ETF
Expense ratio chart for AVUS: 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%
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%

Risk-Adjusted Performance

VLU vs. AVUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Value Tilt ETF (VLU) and Avantis U.S. Equity ETF (AVUS). 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 1.75, compared to the broader market0.002.004.001.751.74
The chart of Sortino ratio for VLU, currently valued at 2.44, compared to the broader market-2.000.002.004.006.008.0010.002.442.37
The chart of Omega ratio for VLU, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.32
The chart of Calmar ratio for VLU, currently valued at 3.15, compared to the broader market0.005.0010.0015.003.152.61
The chart of Martin ratio for VLU, currently valued at 10.25, compared to the broader market0.0020.0040.0060.0080.00100.0010.2510.33
VLU
AVUS

The current VLU Sharpe Ratio is 1.75, which is comparable to the AVUS Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of VLU and AVUS, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.75
1.74
VLU
AVUS

Dividends

VLU vs. AVUS - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.45%, more than AVUS's 0.91% yield.


TTM20232022202120202019201820172016201520142013
VLU
SPDR S&P 1500 Value Tilt ETF
1.45%2.02%2.16%1.86%1.98%2.19%2.57%1.95%2.14%6.37%5.42%3.41%
AVUS
Avantis U.S. Equity ETF
0.91%1.41%1.60%1.08%1.19%0.35%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VLU vs. AVUS - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, roughly equal to the maximum AVUS drawdown of -37.04%. Use the drawdown chart below to compare losses from any high point for VLU and AVUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.28%
-4.48%
VLU
AVUS

Volatility

VLU vs. AVUS - Volatility Comparison

The current volatility for SPDR S&P 1500 Value Tilt ETF (VLU) is 3.61%, while Avantis U.S. Equity ETF (AVUS) has a volatility of 4.14%. This indicates that VLU experiences smaller price fluctuations and is considered to be less risky than AVUS 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%JulyAugustSeptemberOctoberNovemberDecember
3.61%
4.14%
VLU
AVUS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab