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

Performance

VLU vs. ITOT - 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 S&P Total U.S. Stock Market ETF (ITOT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.42%
13.59%
VLU
ITOT

Returns By Period

In the year-to-date period, VLU achieves a 20.67% return, which is significantly lower than ITOT's 24.85% return. Over the past 10 years, VLU has outperformed ITOT with an annualized return of 14.50%, while ITOT has yielded a comparatively lower 12.72% annualized return.


VLU

YTD

20.67%

1M

2.58%

6M

11.00%

1Y

29.70%

5Y (annualized)

14.09%

10Y (annualized)

14.50%

ITOT

YTD

24.85%

1M

1.81%

6M

12.62%

1Y

32.80%

5Y (annualized)

14.94%

10Y (annualized)

12.72%

Key characteristics


VLUITOT
Sharpe Ratio2.642.58
Sortino Ratio3.683.45
Omega Ratio1.491.48
Calmar Ratio4.883.81
Martin Ratio16.5816.49
Ulcer Index1.76%1.96%
Daily Std Dev11.08%12.56%
Max Drawdown-37.38%-55.21%
Current Drawdown-1.28%-1.49%

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VLU vs. ITOT - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is higher than ITOT's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VLU
SPDR S&P 1500 Value Tilt ETF
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%
Expense ratio chart for ITOT: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.7

The correlation between VLU and ITOT 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. ITOT - 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 S&P Total U.S. Stock Market ETF (ITOT). 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 market0.002.004.002.642.58
The chart of Sortino ratio for VLU, currently valued at 3.68, compared to the broader market-2.000.002.004.006.008.0010.0012.003.683.45
The chart of Omega ratio for VLU, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.48
The chart of Calmar ratio for VLU, currently valued at 4.88, compared to the broader market0.005.0010.0015.004.883.81
The chart of Martin ratio for VLU, currently valued at 16.58, compared to the broader market0.0020.0040.0060.0080.00100.0016.5816.49
VLU
ITOT

The current VLU Sharpe Ratio is 2.64, which is comparable to the ITOT Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of VLU and ITOT, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.64
2.58
VLU
ITOT

Dividends

VLU vs. ITOT - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.86%, more than ITOT's 1.22% 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%
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.22%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%2.06%

Drawdowns

VLU vs. ITOT - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for VLU and ITOT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.28%
-1.49%
VLU
ITOT

Volatility

VLU vs. ITOT - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) and iShares Core S&P Total U.S. Stock Market ETF (ITOT) have volatilities of 4.19% and 4.27%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
4.27%
VLU
ITOT