XSVM vs. SVAL
Compare and contrast key facts about Invesco S&P SmallCap Value with Momentum ETF (XSVM) and iShares US Small Cap Value Factor ETF (SVAL).
XSVM and SVAL 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. SVAL is a passively managed fund by iShares that tracks the performance of the Russell 2000 Focused Value Select Index. It was launched on Oct 27, 2020. Both XSVM and SVAL 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 SVAL.
Key characteristics
| XSVM | SVAL | |
|---|---|---|
| YTD Return | 12.02% | 18.40% |
| 1Y Return | 30.22% | 41.45% |
| 3Y Return (Ann) | 3.79% | 5.12% |
| Sharpe Ratio | 1.43 | 1.78 |
| Sortino Ratio | 2.22 | 2.71 |
| Omega Ratio | 1.26 | 1.33 |
| Calmar Ratio | 2.19 | 2.34 |
| Martin Ratio | 5.85 | 7.74 |
| Ulcer Index | 5.49% | 5.52% |
| Daily Std Dev | 22.48% | 24.12% |
| Max Drawdown | -62.57% | -25.30% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between XSVM and SVAL is 0.92, 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
XSVM vs. SVAL - Performance Comparison
In the year-to-date period, XSVM achieves a 12.02% return, which is significantly lower than SVAL's 18.40% 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. SVAL - Expense Ratio Comparison
XSVM has a 0.39% expense ratio, which is higher than SVAL's 0.20% expense ratio.
Risk-Adjusted Performance
XSVM vs. SVAL - 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 US Small Cap Value Factor ETF (SVAL). 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. SVAL - Dividend Comparison
XSVM's dividend yield for the trailing twelve months is around 1.52%, less than SVAL's 2.18% 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% |
SVAL iShares US Small Cap Value Factor ETF | 2.18% | 2.25% | 2.09% | 2.33% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
XSVM vs. SVAL - Drawdown Comparison
The maximum XSVM drawdown since its inception was -62.57%, which is greater than SVAL's maximum drawdown of -25.30%. Use the drawdown chart below to compare losses from any high point for XSVM and SVAL. For additional features, visit the drawdowns tool.
Volatility
XSVM vs. SVAL - Volatility Comparison
The current volatility for Invesco S&P SmallCap Value with Momentum ETF (XSVM) is 9.70%, while iShares US Small Cap Value Factor ETF (SVAL) has a volatility of 10.65%. This indicates that XSVM experiences smaller price fluctuations and is considered to be less risky than SVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.