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

Performance

VLU vs. EWMC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Value Tilt ETF (VLU) and Invesco S&P MidCap 400® Equal Weight ETF (EWMC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.93%
0
VLU
EWMC

Returns By Period


VLU

YTD

21.83%

1M

3.51%

6M

13.50%

1Y

30.34%

5Y (annualized)

14.30%

10Y (annualized)

14.63%

EWMC

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


VLUEWMC

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. 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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for VLU, currently valued at 2.79, compared to the broader market0.002.004.002.791.49
The chart of Sortino ratio for VLU, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.003.883.03
The chart of Omega ratio for VLU, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.86
The chart of Calmar ratio for VLU, currently valued at 5.17, compared to the broader market0.005.0010.0015.005.171.67
The chart of Martin ratio for VLU, currently valued at 17.56, compared to the broader market0.0020.0040.0060.0080.00100.0017.5610.07
VLU
EWMC

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.79
1.49
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%JuneJulyAugustSeptemberOctoberNovember
-0.33%
-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