VLU vs. XJR
Compare and contrast key facts about SPDR S&P 1500 Value Tilt ETF (VLU) and iShares ESG Screened S&P Small-Cap ETF (XJR).
VLU and XJR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VLU is a passively managed fund by State Street that tracks the performance of the S&P 1500 Low Valuation Tilt Index. It was launched on Oct 24, 2012. XJR is a passively managed fund by iShares that tracks the performance of the S&P SmallCap 600 Sustainability Screened Index. It was launched on Sep 22, 2020. Both VLU and XJR are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VLU or XJR.
Performance
VLU vs. XJR - Performance Comparison
Returns By Period
In the year-to-date period, VLU achieves a 21.83% return, which is significantly higher than XJR's 15.78% return.
VLU
21.83%
3.51%
13.50%
30.34%
14.30%
14.63%
XJR
15.78%
6.53%
15.73%
31.21%
N/A
N/A
Key characteristics
| VLU | XJR | |
|---|---|---|
| Sharpe Ratio | 2.79 | 1.51 |
| Sortino Ratio | 3.88 | 2.26 |
| Omega Ratio | 1.51 | 1.27 |
| Calmar Ratio | 5.17 | 1.70 |
| Martin Ratio | 17.56 | 8.96 |
| Ulcer Index | 1.76% | 3.52% |
| Daily Std Dev | 11.10% | 20.82% |
| Max Drawdown | -37.38% | -26.89% |
| Current Drawdown | -0.33% | -2.58% |
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VLU vs. XJR - Expense Ratio Comparison
Both VLU and XJR have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between VLU and XJR is 0.88, 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. XJR - 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 ESG Screened S&P Small-Cap ETF (XJR). 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.
Dividends
VLU vs. XJR - Dividend Comparison
VLU's dividend yield for the trailing twelve months is around 1.84%, more than XJR's 0.83% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
XJR iShares ESG Screened S&P Small-Cap ETF | 0.83% | 0.92% | 1.29% | 2.00% | 0.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
VLU vs. XJR - Drawdown Comparison
The maximum VLU drawdown since its inception was -37.38%, which is greater than XJR's maximum drawdown of -26.89%. Use the drawdown chart below to compare losses from any high point for VLU and XJR. For additional features, visit the drawdowns tool.
Volatility
VLU vs. XJR - Volatility Comparison
The current volatility for SPDR S&P 1500 Value Tilt ETF (VLU) is 4.23%, while iShares ESG Screened S&P Small-Cap ETF (XJR) has a volatility of 7.50%. This indicates that VLU experiences smaller price fluctuations and is considered to be less risky than XJR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.