XSVM vs. MTUM
Compare and contrast key facts about Invesco S&P SmallCap Value with Momentum ETF (XSVM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
XSVM and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XSVM is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Index. It was launched on Mar 3, 2005. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. Both XSVM and MTUM 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: XSVM or MTUM.
Key characteristics
| XSVM | MTUM | |
|---|---|---|
| YTD Return | 12.02% | 36.70% |
| 1Y Return | 30.22% | 46.22% |
| 3Y Return (Ann) | 3.79% | 5.44% |
| 5Y Return (Ann) | 15.00% | 13.23% |
| 10Y Return (Ann) | 11.11% | 13.73% |
| Sharpe Ratio | 1.43 | 2.63 |
| Sortino Ratio | 2.22 | 3.48 |
| Omega Ratio | 1.26 | 1.46 |
| Calmar Ratio | 2.19 | 2.26 |
| Martin Ratio | 5.85 | 15.37 |
| Ulcer Index | 5.49% | 3.17% |
| Daily Std Dev | 22.48% | 18.49% |
| Max Drawdown | -62.57% | -34.08% |
| Current Drawdown | 0.00% | -0.11% |
Correlation
The correlation between XSVM and MTUM is 0.56, 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.
Performance
XSVM vs. MTUM - Performance Comparison
In the year-to-date period, XSVM achieves a 12.02% return, which is significantly lower than MTUM's 36.70% return. Over the past 10 years, XSVM has underperformed MTUM with an annualized return of 11.11%, while MTUM has yielded a comparatively higher 13.73% annualized 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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XSVM vs. MTUM - Expense Ratio Comparison
XSVM has a 0.39% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Risk-Adjusted Performance
XSVM vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Value with Momentum ETF (XSVM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). 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
XSVM vs. MTUM - Dividend Comparison
XSVM's dividend yield for the trailing twelve months is around 1.52%, more than MTUM's 0.54% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XSVM Invesco S&P SmallCap Value with Momentum ETF | 1.52% | 1.31% | 1.79% | 1.23% | 1.21% | 1.22% | 2.54% | 1.90% | 2.29% | 2.68% | 1.32% | 1.15% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.54% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
XSVM vs. MTUM - Drawdown Comparison
The maximum XSVM drawdown since its inception was -62.57%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for XSVM and MTUM. For additional features, visit the drawdowns tool.
Volatility
XSVM vs. MTUM - Volatility Comparison
Invesco S&P SmallCap Value with Momentum ETF (XSVM) has a higher volatility of 9.70% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 4.10%. This indicates that XSVM's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.