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

Key characteristics


VLUXJR
YTD Return22.23%18.85%
1Y Return35.29%41.21%
3Y Return (Ann)9.89%3.50%
Sharpe Ratio3.281.99
Sortino Ratio4.572.91
Omega Ratio1.611.35
Calmar Ratio6.201.94
Martin Ratio21.2112.32
Ulcer Index1.75%3.47%
Daily Std Dev11.27%21.45%
Max Drawdown-37.38%-26.89%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

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.

Performance

VLU vs. XJR - Performance Comparison

In the year-to-date period, VLU achieves a 22.23% return, which is significantly higher than XJR's 18.85% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.50%
15.95%
VLU
XJR

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. 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%.


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 XJR: 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. 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.


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
XJR
Sharpe ratio
The chart of Sharpe ratio for XJR, currently valued at 1.99, compared to the broader market-2.000.002.004.006.001.99
Sortino ratio
The chart of Sortino ratio for XJR, currently valued at 2.91, compared to the broader market0.005.0010.002.91
Omega ratio
The chart of Omega ratio for XJR, currently valued at 1.35, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for XJR, currently valued at 1.94, compared to the broader market0.005.0010.0015.001.94
Martin ratio
The chart of Martin ratio for XJR, currently valued at 12.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.32

VLU vs. XJR - Sharpe Ratio Comparison

The current VLU Sharpe Ratio is 3.28, which is higher than the XJR Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of VLU and XJR, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.28
1.99
VLU
XJR

Dividends

VLU vs. XJR - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.84%, more than XJR's 0.81% 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%
XJR
iShares ESG Screened S&P Small-Cap ETF
0.81%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VLU
XJR

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 7.35%. 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.23%
7.35%
VLU
XJR