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

Key characteristics


VLUIWD
YTD Return22.23%20.52%
1Y Return35.29%33.29%
3Y Return (Ann)9.89%7.78%
5Y Return (Ann)14.45%10.55%
10Y Return (Ann)14.80%9.08%
Sharpe Ratio3.283.14
Sortino Ratio4.574.42
Omega Ratio1.611.58
Calmar Ratio6.204.04
Martin Ratio21.2120.09
Ulcer Index1.75%1.73%
Daily Std Dev11.27%11.01%
Max Drawdown-37.38%-60.10%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between VLU and IWD is 0.72, 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.

Performance

VLU vs. IWD - Performance Comparison

In the year-to-date period, VLU achieves a 22.23% return, which is significantly higher than IWD's 20.52% return. Over the past 10 years, VLU has outperformed IWD with an annualized return of 14.80%, while IWD has yielded a comparatively lower 9.08% annualized return. 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%
11.76%
VLU
IWD

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VLU vs. IWD - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is lower than IWD's 0.19% 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%.


IWD
iShares Russell 1000 Value ETF
Expense ratio chart for IWD: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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. IWD - 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 Russell 1000 Value ETF (IWD). 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
IWD
Sharpe ratio
The chart of Sharpe ratio for IWD, currently valued at 3.14, compared to the broader market-2.000.002.004.006.003.14
Sortino ratio
The chart of Sortino ratio for IWD, currently valued at 4.42, compared to the broader market0.005.0010.004.42
Omega ratio
The chart of Omega ratio for IWD, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for IWD, currently valued at 4.04, compared to the broader market0.005.0010.0015.004.04
Martin ratio
The chart of Martin ratio for IWD, currently valued at 20.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.09

VLU vs. IWD - Sharpe Ratio Comparison

The current VLU Sharpe Ratio is 3.28, which is comparable to the IWD Sharpe Ratio of 3.14. The chart below compares the historical Sharpe Ratios of VLU and IWD, 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
3.28
3.14
VLU
IWD

Dividends

VLU vs. IWD - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.84%, more than IWD's 1.76% yield.


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%
IWD
iShares Russell 1000 Value ETF
1.76%2.02%2.15%1.62%2.05%2.45%2.71%2.09%2.25%2.47%2.00%1.95%

Drawdowns

VLU vs. IWD - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, smaller than the maximum IWD drawdown of -60.10%. Use the drawdown chart below to compare losses from any high point for VLU and IWD. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VLU
IWD

Volatility

VLU vs. IWD - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) has a higher volatility of 4.23% compared to iShares Russell 1000 Value ETF (IWD) at 3.68%. This indicates that VLU's price experiences larger fluctuations and is considered to be riskier than IWD 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
4.23%
3.68%
VLU
IWD