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

Performance

VSCAX vs. SCETX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Small Cap Value Fund (VSCAX) and Virtus Ceredex Small-Cap Value Equity Fund (SCETX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.79%
12.45%
VSCAX
SCETX

Returns By Period

In the year-to-date period, VSCAX achieves a 32.05% return, which is significantly higher than SCETX's 17.18% return. Over the past 10 years, VSCAX has outperformed SCETX with an annualized return of 1.85%, while SCETX has yielded a comparatively lower -5.51% annualized return.


VSCAX

YTD

32.05%

1M

9.56%

6M

13.79%

1Y

40.30%

5Y (annualized)

14.27%

10Y (annualized)

1.85%

SCETX

YTD

17.18%

1M

6.47%

6M

12.45%

1Y

18.52%

5Y (annualized)

-0.83%

10Y (annualized)

-5.51%

Key characteristics


VSCAXSCETX
Sharpe Ratio1.950.93
Sortino Ratio2.531.32
Omega Ratio1.351.19
Calmar Ratio2.110.31
Martin Ratio10.372.97
Ulcer Index3.89%6.23%
Daily Std Dev20.67%19.90%
Max Drawdown-72.32%-72.45%
Current Drawdown0.00%-50.55%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VSCAX vs. SCETX - Expense Ratio Comparison

VSCAX has a 1.12% expense ratio, which is lower than SCETX's 1.15% expense ratio.


SCETX
Virtus Ceredex Small-Cap Value Equity Fund
Expense ratio chart for SCETX: current value at 1.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.15%
Expense ratio chart for VSCAX: current value at 1.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.12%

Correlation

-0.50.00.51.00.9

The correlation between VSCAX and SCETX is 0.91, 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

VSCAX vs. SCETX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Small Cap Value Fund (VSCAX) and Virtus Ceredex Small-Cap Value Equity Fund (SCETX). 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 VSCAX, currently valued at 1.95, compared to the broader market-1.000.001.002.003.004.005.001.950.93
The chart of Sortino ratio for VSCAX, currently valued at 2.53, compared to the broader market0.005.0010.002.531.32
The chart of Omega ratio for VSCAX, currently valued at 1.35, compared to the broader market1.002.003.004.001.351.19
The chart of Calmar ratio for VSCAX, currently valued at 2.11, compared to the broader market0.005.0010.0015.0020.002.110.31
The chart of Martin ratio for VSCAX, currently valued at 10.37, compared to the broader market0.0020.0040.0060.0080.00100.0010.372.97
VSCAX
SCETX

The current VSCAX Sharpe Ratio is 1.95, which is higher than the SCETX Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of VSCAX and SCETX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.95
0.93
VSCAX
SCETX

Dividends

VSCAX vs. SCETX - Dividend Comparison

VSCAX's dividend yield for the trailing twelve months is around 0.42%, less than SCETX's 0.59% yield.


TTM20232022202120202019201820172016201520142013
VSCAX
Invesco Small Cap Value Fund
0.42%0.56%0.35%0.04%0.30%0.00%0.00%0.00%0.18%0.06%0.00%0.00%
SCETX
Virtus Ceredex Small-Cap Value Equity Fund
0.59%0.69%1.49%1.00%0.51%1.68%2.11%1.48%1.03%1.94%1.01%0.78%

Drawdowns

VSCAX vs. SCETX - Drawdown Comparison

The maximum VSCAX drawdown since its inception was -72.32%, roughly equal to the maximum SCETX drawdown of -72.45%. Use the drawdown chart below to compare losses from any high point for VSCAX and SCETX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-50.55%
VSCAX
SCETX

Volatility

VSCAX vs. SCETX - Volatility Comparison

Invesco Small Cap Value Fund (VSCAX) and Virtus Ceredex Small-Cap Value Equity Fund (SCETX) have volatilities of 7.20% and 7.46%, 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.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.20%
7.46%
VSCAX
SCETX