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VSMV vs. USMV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VSMV and USMV is 0.82, 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.


-0.50.00.51.00.8

Performance

VSMV vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV) and iShares Edge MSCI Min Vol USA ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
122.57%
105.36%
VSMV
USMV

Key characteristics

Sharpe Ratio

VSMV:

1.82

USMV:

1.89

Sortino Ratio

VSMV:

2.52

USMV:

2.62

Omega Ratio

VSMV:

1.34

USMV:

1.34

Calmar Ratio

VSMV:

3.21

USMV:

2.76

Martin Ratio

VSMV:

10.58

USMV:

11.38

Ulcer Index

VSMV:

1.56%

USMV:

1.44%

Daily Std Dev

VSMV:

9.04%

USMV:

8.66%

Max Drawdown

VSMV:

-31.33%

USMV:

-33.10%

Current Drawdown

VSMV:

-4.56%

USMV:

-5.93%

Returns By Period

The year-to-date returns for both stocks are quite close, with VSMV having a 16.14% return and USMV slightly lower at 15.43%.


VSMV

YTD

16.14%

1M

-1.58%

6M

6.94%

1Y

15.95%

5Y*

9.77%

10Y*

N/A

USMV

YTD

15.43%

1M

-2.77%

6M

6.78%

1Y

16.14%

5Y*

8.09%

10Y*

10.17%

Compare stocks, funds, or ETFs

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


VSMV vs. USMV - Expense Ratio Comparison

VSMV has a 0.35% expense ratio, which is higher than USMV's 0.15% expense ratio.


VSMV
VictoryShares US Multi-Factor Minimum Volatility ETF
Expense ratio chart for VSMV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for USMV: 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%

Risk-Adjusted Performance

VSMV vs. USMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV) and iShares Edge MSCI Min Vol USA ETF (USMV). 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 VSMV, currently valued at 1.82, compared to the broader market0.002.004.001.821.89
The chart of Sortino ratio for VSMV, currently valued at 2.52, compared to the broader market-2.000.002.004.006.008.0010.002.522.62
The chart of Omega ratio for VSMV, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.34
The chart of Calmar ratio for VSMV, currently valued at 3.21, compared to the broader market0.005.0010.0015.003.212.76
The chart of Martin ratio for VSMV, currently valued at 10.58, compared to the broader market0.0020.0040.0060.0080.00100.0010.5811.38
VSMV
USMV

The current VSMV Sharpe Ratio is 1.82, which is comparable to the USMV Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of VSMV and USMV, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.82
1.89
VSMV
USMV

Dividends

VSMV vs. USMV - Dividend Comparison

VSMV's dividend yield for the trailing twelve months is around 1.36%, less than USMV's 2.16% yield.


TTM20232022202120202019201820172016201520142013
VSMV
VictoryShares US Multi-Factor Minimum Volatility ETF
1.36%1.77%1.99%1.36%2.01%2.00%2.42%1.14%0.00%0.00%0.00%0.00%
USMV
iShares Edge MSCI Min Vol USA ETF
2.16%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%

Drawdowns

VSMV vs. USMV - Drawdown Comparison

The maximum VSMV drawdown since its inception was -31.33%, smaller than the maximum USMV drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for VSMV and USMV. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.56%
-5.93%
VSMV
USMV

Volatility

VSMV vs. USMV - Volatility Comparison

The current volatility for VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV) is 2.80%, while iShares Edge MSCI Min Vol USA ETF (USMV) has a volatility of 3.06%. This indicates that VSMV experiences smaller price fluctuations and is considered to be less risky than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%JulyAugustSeptemberOctoberNovemberDecember
2.80%
3.06%
VSMV
USMV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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