XJR vs. VLU
Compare and contrast key facts about iShares ESG Screened S&P Small-Cap ETF (XJR) and SPDR S&P 1500 Value Tilt ETF (VLU).
XJR and VLU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both XJR and VLU 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: XJR or VLU.
Key characteristics
| XJR | VLU | |
|---|---|---|
| YTD Return | 16.96% | 21.42% |
| 1Y Return | 40.46% | 36.22% |
| 3Y Return (Ann) | 2.79% | 9.64% |
| Sharpe Ratio | 1.79 | 3.09 |
| Sortino Ratio | 2.65 | 4.32 |
| Omega Ratio | 1.32 | 1.58 |
| Calmar Ratio | 1.68 | 5.26 |
| Martin Ratio | 11.06 | 20.03 |
| Ulcer Index | 3.47% | 1.75% |
| Daily Std Dev | 21.44% | 11.35% |
| Max Drawdown | -26.89% | -37.38% |
| Current Drawdown | -0.29% | 0.00% |
Correlation
The correlation between XJR and VLU 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
XJR vs. VLU - Performance Comparison
In the year-to-date period, XJR achieves a 16.96% return, which is significantly lower than VLU's 21.42% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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XJR vs. VLU - Expense Ratio Comparison
Both XJR and VLU 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%.
Risk-Adjusted Performance
XJR vs. VLU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) and SPDR S&P 1500 Value Tilt ETF (VLU). 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
XJR vs. VLU - Dividend Comparison
XJR's dividend yield for the trailing twelve months is around 0.82%, less than VLU's 1.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XJR iShares ESG Screened S&P Small-Cap ETF | 0.82% | 0.92% | 1.29% | 2.00% | 0.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VLU SPDR S&P 1500 Value Tilt ETF | 1.85% | 2.02% | 2.16% | 1.86% | 1.98% | 2.19% | 2.57% | 1.95% | 2.14% | 6.37% | 5.42% | 3.41% |
Drawdowns
XJR vs. VLU - Drawdown Comparison
The maximum XJR drawdown since its inception was -26.89%, smaller than the maximum VLU drawdown of -37.38%. Use the drawdown chart below to compare losses from any high point for XJR and VLU. For additional features, visit the drawdowns tool.
Volatility
XJR vs. VLU - Volatility Comparison
iShares ESG Screened S&P Small-Cap ETF (XJR) has a higher volatility of 7.41% compared to SPDR S&P 1500 Value Tilt ETF (VLU) at 4.29%. This indicates that XJR's price experiences larger fluctuations and is considered to be riskier than VLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.