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

Performance

VLU vs. VLUE - 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 Edge MSCI USA Value Factor ETF (VLUE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.50%
11.30%
VLU
VLUE

Returns By Period

In the year-to-date period, VLU achieves a 21.83% return, which is significantly higher than VLUE's 13.82% return. Over the past 10 years, VLU has outperformed VLUE with an annualized return of 14.63%, while VLUE has yielded a comparatively lower 8.25% annualized return.


VLU

YTD

21.83%

1M

3.51%

6M

13.50%

1Y

30.34%

5Y (annualized)

14.30%

10Y (annualized)

14.63%

VLUE

YTD

13.82%

1M

3.29%

6M

11.30%

1Y

24.26%

5Y (annualized)

8.31%

10Y (annualized)

8.25%

Key characteristics


VLUVLUE
Sharpe Ratio2.791.88
Sortino Ratio3.882.63
Omega Ratio1.511.33
Calmar Ratio5.171.72
Martin Ratio17.567.78
Ulcer Index1.76%3.19%
Daily Std Dev11.10%13.22%
Max Drawdown-37.38%-39.47%
Current Drawdown-0.33%-0.57%

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VLU vs. VLUE - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is lower than VLUE'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%.


VLUE
iShares Edge MSCI USA Value Factor ETF
Expense ratio chart for VLUE: 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%

Correlation

-0.50.00.51.00.7

The correlation between VLU and VLUE is 0.74, 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.

Risk-Adjusted Performance

VLU vs. VLUE - 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 Edge MSCI USA Value Factor ETF (VLUE). 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 market0.002.004.002.791.88
The chart of Sortino ratio for VLU, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.003.882.63
The chart of Omega ratio for VLU, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.33
The chart of Calmar ratio for VLU, currently valued at 5.17, compared to the broader market0.005.0010.0015.005.171.72
The chart of Martin ratio for VLU, currently valued at 17.56, compared to the broader market0.0020.0040.0060.0080.00100.0017.567.78
VLU
VLUE

The current VLU Sharpe Ratio is 2.79, which is higher than the VLUE Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of VLU and VLUE, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.79
1.88
VLU
VLUE

Dividends

VLU vs. VLUE - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.84%, less than VLUE's 2.47% 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%
VLUE
iShares Edge MSCI USA Value Factor ETF
2.47%2.66%3.19%2.22%2.42%2.60%2.70%2.14%2.07%2.39%1.64%1.33%

Drawdowns

VLU vs. VLUE - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, smaller than the maximum VLUE drawdown of -39.47%. Use the drawdown chart below to compare losses from any high point for VLU and VLUE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.33%
-0.57%
VLU
VLUE

Volatility

VLU vs. VLUE - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) and iShares Edge MSCI USA Value Factor ETF (VLUE) have volatilities of 4.23% 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.23%
4.27%
VLU
VLUE