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

Key characteristics


VIOOXSLV
YTD Return17.83%17.18%
1Y Return39.90%32.32%
3Y Return (Ann)3.45%1.98%
5Y Return (Ann)11.13%2.79%
10Y Return (Ann)10.10%6.99%
Sharpe Ratio2.021.98
Sortino Ratio2.932.98
Omega Ratio1.351.36
Calmar Ratio1.931.53
Martin Ratio11.7611.96
Ulcer Index3.53%2.76%
Daily Std Dev20.60%16.70%
Max Drawdown-44.15%-44.34%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VIOO and XSLV is 0.91, 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

VIOO vs. XSLV - Performance Comparison

The year-to-date returns for both stocks are quite close, with VIOO having a 17.83% return and XSLV slightly lower at 17.18%. Over the past 10 years, VIOO has outperformed XSLV with an annualized return of 10.10%, while XSLV has yielded a comparatively lower 6.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.32%
15.70%
VIOO
XSLV

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VIOO vs. XSLV - Expense Ratio Comparison

VIOO has a 0.10% expense ratio, which is lower than XSLV's 0.25% expense ratio. Despite the difference, 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 VIOO: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VIOO vs. XSLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P Small-Cap 600 ETF (VIOO) and Invesco S&P SmallCap Low Volatility ETF (XSLV). 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.


VIOO
Sharpe ratio
The chart of Sharpe ratio for VIOO, currently valued at 2.02, compared to the broader market-2.000.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for VIOO, currently valued at 2.93, compared to the broader market0.005.0010.002.93
Omega ratio
The chart of Omega ratio for VIOO, currently valued at 1.35, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for VIOO, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.93
Martin ratio
The chart of Martin ratio for VIOO, currently valued at 11.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.76
XSLV
Sharpe ratio
The chart of Sharpe ratio for XSLV, currently valued at 1.98, compared to the broader market-2.000.002.004.006.001.98
Sortino ratio
The chart of Sortino ratio for XSLV, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for XSLV, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for XSLV, currently valued at 1.53, compared to the broader market0.005.0010.0015.001.53
Martin ratio
The chart of Martin ratio for XSLV, currently valued at 11.96, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.96

VIOO vs. XSLV - Sharpe Ratio Comparison

The current VIOO Sharpe Ratio is 2.02, which is comparable to the XSLV Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of VIOO and XSLV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.02
1.98
VIOO
XSLV

Dividends

VIOO vs. XSLV - Dividend Comparison

VIOO's dividend yield for the trailing twelve months is around 1.25%, less than XSLV's 1.88% yield.


TTM20232022202120202019201820172016201520142013
VIOO
Vanguard S&P Small-Cap 600 ETF
1.25%1.47%1.51%1.16%1.09%1.37%1.32%1.11%0.95%1.26%1.06%0.86%
XSLV
Invesco S&P SmallCap Low Volatility ETF
1.88%2.35%2.79%1.05%2.48%2.43%2.75%1.87%1.96%2.20%2.38%1.58%

Drawdowns

VIOO vs. XSLV - Drawdown Comparison

The maximum VIOO drawdown since its inception was -44.15%, roughly equal to the maximum XSLV drawdown of -44.34%. Use the drawdown chart below to compare losses from any high point for VIOO and XSLV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VIOO
XSLV

Volatility

VIOO vs. XSLV - Volatility Comparison

Vanguard S&P Small-Cap 600 ETF (VIOO) and Invesco S&P SmallCap Low Volatility ETF (XSLV) have volatilities of 7.32% and 7.02%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
7.32%
7.02%
VIOO
XSLV