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VLU vs. EWMC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VLUEWMC

Correlation

-0.50.00.51.00.7

The correlation between VLU and EWMC is 0.67, 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.

Performance

VLU vs. EWMC - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.50%
0
VLU
EWMC

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VLU vs. EWMC - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is lower than EWMC's 0.40% expense ratio.


EWMC
Invesco S&P MidCap 400® Equal Weight ETF
Expense ratio chart for EWMC: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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. EWMC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Value Tilt ETF (VLU) and Invesco S&P MidCap 400® Equal Weight ETF (EWMC). 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.


VLU
Sharpe ratio
The chart of Sharpe ratio for VLU, currently valued at 3.28, compared to the broader market-2.000.002.004.006.003.28
Sortino ratio
The chart of Sortino ratio for VLU, currently valued at 4.57, compared to the broader market0.005.0010.004.57
Omega ratio
The chart of Omega ratio for VLU, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for VLU, currently valued at 6.20, compared to the broader market0.005.0010.0015.006.20
Martin ratio
The chart of Martin ratio for VLU, currently valued at 21.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.21
EWMC
Sharpe ratio
The chart of Sharpe ratio for EWMC, currently valued at 2.02, compared to the broader market-2.000.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for EWMC, currently valued at 4.46, compared to the broader market0.005.0010.004.46
Omega ratio
The chart of Omega ratio for EWMC, currently valued at 2.18, compared to the broader market1.001.502.002.503.002.18
Calmar ratio
The chart of Calmar ratio for EWMC, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.68
Martin ratio
The chart of Martin ratio for EWMC, currently valued at 16.50, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.50

VLU vs. EWMC - Sharpe Ratio Comparison


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.28
2.02
VLU
EWMC

Dividends

VLU vs. EWMC - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.84%, while EWMC has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VLU
SPDR S&P 1500 Value Tilt ETF
1.84%2.02%2.16%1.86%1.98%2.19%2.57%1.95%2.14%6.37%5.42%3.41%
EWMC
Invesco S&P MidCap 400® Equal Weight ETF
0.76%0.96%0.11%0.92%1.16%1.25%0.75%1.14%0.03%1.43%1.28%1.01%

Drawdowns

VLU vs. EWMC - Drawdown Comparison


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.50%
VLU
EWMC

Volatility

VLU vs. EWMC - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) has a higher volatility of 4.23% compared to Invesco S&P MidCap 400® Equal Weight ETF (EWMC) at 0.00%. This indicates that VLU's price experiences larger fluctuations and is considered to be riskier than EWMC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.23%
0
VLU
EWMC