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XSLV vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

XSLV vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Low Volatility ETF (XSLV) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.73%
11.27%
XSLV
VOO

Returns By Period

In the year-to-date period, XSLV achieves a 13.68% return, which is significantly lower than VOO's 24.51% return. Over the past 10 years, XSLV has underperformed VOO with an annualized return of 6.69%, while VOO has yielded a comparatively higher 13.12% annualized return.


XSLV

YTD

13.68%

1M

1.48%

6M

12.18%

1Y

24.54%

5Y (annualized)

2.10%

10Y (annualized)

6.69%

VOO

YTD

24.51%

1M

0.61%

6M

11.38%

1Y

32.00%

5Y (annualized)

15.30%

10Y (annualized)

13.12%

Key characteristics


XSLVVOO
Sharpe Ratio1.442.64
Sortino Ratio2.203.53
Omega Ratio1.261.49
Calmar Ratio1.203.81
Martin Ratio8.4817.34
Ulcer Index2.77%1.86%
Daily Std Dev16.26%12.20%
Max Drawdown-44.34%-33.99%
Current Drawdown-2.98%-2.16%

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XSLV vs. VOO - Expense Ratio Comparison

XSLV has a 0.25% expense ratio, which is higher than VOO's 0.03% 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%.


XSLV
Invesco S&P SmallCap Low Volatility ETF
Expense ratio chart for XSLV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.7

The correlation between XSLV and VOO is 0.72, 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

XSLV vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Low Volatility ETF (XSLV) and Vanguard S&P 500 ETF (VOO). 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 XSLV, currently valued at 1.44, compared to the broader market0.002.004.001.442.64
The chart of Sortino ratio for XSLV, currently valued at 2.20, compared to the broader market-2.000.002.004.006.008.0010.002.203.53
The chart of Omega ratio for XSLV, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.49
The chart of Calmar ratio for XSLV, currently valued at 1.20, compared to the broader market0.005.0010.0015.001.203.81
The chart of Martin ratio for XSLV, currently valued at 8.48, compared to the broader market0.0020.0040.0060.0080.00100.008.4817.34
XSLV
VOO

The current XSLV Sharpe Ratio is 1.44, which is lower than the VOO Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of XSLV and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.44
2.64
XSLV
VOO

Dividends

XSLV vs. VOO - Dividend Comparison

XSLV's dividend yield for the trailing twelve months is around 1.94%, more than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
XSLV
Invesco S&P SmallCap Low Volatility ETF
1.94%2.35%2.79%1.05%2.48%2.43%2.75%1.87%1.96%2.20%2.38%1.58%
VOO
Vanguard S&P 500 ETF
1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

XSLV vs. VOO - Drawdown Comparison

The maximum XSLV drawdown since its inception was -44.34%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for XSLV and VOO. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.98%
-2.16%
XSLV
VOO

Volatility

XSLV vs. VOO - Volatility Comparison

Invesco S&P SmallCap Low Volatility ETF (XSLV) has a higher volatility of 7.21% compared to Vanguard S&P 500 ETF (VOO) at 4.09%. This indicates that XSLV's price experiences larger fluctuations and is considered to be riskier than VOO 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%JuneJulyAugustSeptemberOctoberNovember
7.21%
4.09%
XSLV
VOO