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XSHD vs. VYMI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XSHD and VYMI is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

XSHD vs. VYMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) and Vanguard International High Dividend Yield ETF (VYMI). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
-6.88%
72.08%
XSHD
VYMI

Key characteristics

Sharpe Ratio

XSHD:

-0.22

VYMI:

0.76

Sortino Ratio

XSHD:

-0.18

VYMI:

1.08

Omega Ratio

XSHD:

0.98

VYMI:

1.13

Calmar Ratio

XSHD:

-0.13

VYMI:

1.11

Martin Ratio

XSHD:

-0.54

VYMI:

3.39

Ulcer Index

XSHD:

7.16%

VYMI:

2.72%

Daily Std Dev

XSHD:

17.63%

VYMI:

12.10%

Max Drawdown

XSHD:

-49.52%

VYMI:

-40.00%

Current Drawdown

XSHD:

-25.51%

VYMI:

-7.86%

Returns By Period

In the year-to-date period, XSHD achieves a -5.16% return, which is significantly lower than VYMI's 6.13% return.


XSHD

YTD

-5.16%

1M

-4.31%

6M

5.79%

1Y

-5.39%

5Y*

-4.05%

10Y*

N/A

VYMI

YTD

6.13%

1M

-2.59%

6M

1.27%

1Y

7.19%

5Y*

5.78%

10Y*

N/A

Compare stocks, funds, or ETFs

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


XSHD vs. VYMI - Expense Ratio Comparison

XSHD has a 0.30% expense ratio, which is higher than VYMI's 0.22% expense ratio.


XSHD
Invesco S&P SmallCap High Dividend Low Volatility ETF
Expense ratio chart for XSHD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

XSHD vs. VYMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) and Vanguard International High Dividend Yield ETF (VYMI). 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 XSHD, currently valued at -0.22, compared to the broader market0.002.004.00-0.220.76
The chart of Sortino ratio for XSHD, currently valued at -0.18, compared to the broader market-2.000.002.004.006.008.0010.00-0.181.08
The chart of Omega ratio for XSHD, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.981.13
The chart of Calmar ratio for XSHD, currently valued at -0.13, compared to the broader market0.005.0010.0015.00-0.131.11
The chart of Martin ratio for XSHD, currently valued at -0.54, compared to the broader market0.0020.0040.0060.0080.00100.00-0.543.39
XSHD
VYMI

The current XSHD Sharpe Ratio is -0.22, which is lower than the VYMI Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of XSHD and VYMI, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.22
0.76
XSHD
VYMI

Dividends

XSHD vs. VYMI - Dividend Comparison

XSHD's dividend yield for the trailing twelve months is around 6.61%, more than VYMI's 4.88% yield.


TTM20232022202120202019201820172016
XSHD
Invesco S&P SmallCap High Dividend Low Volatility ETF
6.61%7.62%6.77%3.86%5.55%4.88%5.49%4.11%0.41%
VYMI
Vanguard International High Dividend Yield ETF
4.88%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%

Drawdowns

XSHD vs. VYMI - Drawdown Comparison

The maximum XSHD drawdown since its inception was -49.52%, which is greater than VYMI's maximum drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for XSHD and VYMI. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-25.51%
-7.86%
XSHD
VYMI

Volatility

XSHD vs. VYMI - Volatility Comparison

Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) has a higher volatility of 4.85% compared to Vanguard International High Dividend Yield ETF (VYMI) at 3.34%. This indicates that XSHD's price experiences larger fluctuations and is considered to be riskier than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.85%
3.34%
XSHD
VYMI
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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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