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XMLV vs. VO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XMLV and VO is 0.75, 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

XMLV vs. VO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap Low Volatility ETF (XMLV) and Vanguard Mid-Cap ETF (VO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

XMLV:

0.80

VO:

0.61

Sortino Ratio

XMLV:

1.01

VO:

0.83

Omega Ratio

XMLV:

1.13

VO:

1.11

Calmar Ratio

XMLV:

0.73

VO:

0.49

Martin Ratio

XMLV:

2.32

VO:

1.77

Ulcer Index

XMLV:

4.31%

VO:

5.26%

Daily Std Dev

XMLV:

15.61%

VO:

18.38%

Max Drawdown

XMLV:

-39.86%

VO:

-58.88%

Current Drawdown

XMLV:

-5.32%

VO:

-5.56%

Returns By Period

In the year-to-date period, XMLV achieves a 1.21% return, which is significantly lower than VO's 1.35% return. Over the past 10 years, XMLV has underperformed VO with an annualized return of 8.25%, while VO has yielded a comparatively higher 9.21% annualized return.


XMLV

YTD

1.21%

1M

2.33%

6M

-5.32%

1Y

12.03%

3Y*

7.18%

5Y*

10.47%

10Y*

8.25%

VO

YTD

1.35%

1M

5.04%

6M

-5.34%

1Y

10.22%

3Y*

10.65%

5Y*

13.28%

10Y*

9.21%

*Annualized

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Vanguard Mid-Cap ETF

XMLV vs. VO - Expense Ratio Comparison

XMLV has a 0.25% expense ratio, which is higher than VO's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

XMLV vs. VO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

XMLV
The Risk-Adjusted Performance Rank of XMLV is 6969
Overall Rank
The Sharpe Ratio Rank of XMLV is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of XMLV is 6767
Sortino Ratio Rank
The Omega Ratio Rank of XMLV is 6363
Omega Ratio Rank
The Calmar Ratio Rank of XMLV is 7575
Calmar Ratio Rank
The Martin Ratio Rank of XMLV is 6666
Martin Ratio Rank

VO
The Risk-Adjusted Performance Rank of VO is 5858
Overall Rank
The Sharpe Ratio Rank of VO is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of VO is 5656
Sortino Ratio Rank
The Omega Ratio Rank of VO is 5757
Omega Ratio Rank
The Calmar Ratio Rank of VO is 6060
Calmar Ratio Rank
The Martin Ratio Rank of VO is 5656
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

XMLV vs. VO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap Low Volatility ETF (XMLV) and Vanguard Mid-Cap ETF (VO). 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.


The current XMLV Sharpe Ratio is 0.80, which is higher than the VO Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of XMLV and VO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

XMLV vs. VO - Dividend Comparison

XMLV's dividend yield for the trailing twelve months is around 2.53%, more than VO's 1.55% yield.


TTM20242023202220212020201920182017201620152014
XMLV
Invesco S&P MidCap Low Volatility ETF
2.53%2.23%2.34%2.05%1.14%1.93%2.02%2.12%1.74%1.72%1.85%2.00%
VO
Vanguard Mid-Cap ETF
1.55%1.49%1.52%1.60%1.12%1.45%1.48%1.82%1.35%1.45%1.47%1.29%

Drawdowns

XMLV vs. VO - Drawdown Comparison

The maximum XMLV drawdown since its inception was -39.86%, smaller than the maximum VO drawdown of -58.88%. Use the drawdown chart below to compare losses from any high point for XMLV and VO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

XMLV vs. VO - Volatility Comparison

The current volatility for Invesco S&P MidCap Low Volatility ETF (XMLV) is 3.67%, while Vanguard Mid-Cap ETF (VO) has a volatility of 4.11%. This indicates that XMLV experiences smaller price fluctuations and is considered to be less risky than VO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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