PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XSVM vs. SVAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XSVMSVAL
YTD Return0.33%-5.90%
1Y Return20.24%13.06%
3Y Return (Ann)5.95%0.29%
Sharpe Ratio1.040.63
Daily Std Dev20.34%22.22%
Max Drawdown-62.57%-25.29%
Current Drawdown-4.94%-8.14%

Correlation

0.92
-1.001.00

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 0.33% return, which is significantly higher than SVAL's -5.90% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
17.18%
12.81%
XSVM
SVAL

Compare stocks, funds, or ETFs


Invesco S&P SmallCap Value with Momentum ETF

iShares US Small Cap Value Factor ETF

XSVM vs. SVAL - Expense Ratio Comparison

XSVM has a 0.39% expense ratio, which is higher than SVAL's 0.20% expense ratio.

XSVM
Invesco S&P SmallCap Value with Momentum ETF
0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.20%

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.


XSVM
Sharpe ratio
The Sharpe ratio of XSVM compared to the broader market0.002.004.001.04
Sortino ratio
The Sortino ratio of XSVM compared to the broader market-2.000.002.004.006.008.0010.001.65
Omega ratio
The Omega ratio of XSVM compared to the broader market1.001.502.002.501.19
Calmar ratio
The Calmar ratio of XSVM compared to the broader market0.002.004.006.008.0010.0012.000.89
Martin ratio
The Martin ratio of XSVM compared to the broader market0.0020.0040.0060.0080.004.89
SVAL
Sharpe ratio
The Sharpe ratio of SVAL compared to the broader market0.002.004.000.63
Sortino ratio
The Sortino ratio of SVAL compared to the broader market-2.000.002.004.006.008.0010.001.12
Omega ratio
The Omega ratio of SVAL compared to the broader market1.001.502.002.501.12
Calmar ratio
The Calmar ratio of SVAL compared to the broader market0.002.004.006.008.0010.0012.000.55
Martin ratio
The Martin ratio of SVAL compared to the broader market0.0020.0040.0060.0080.002.22

XSVM vs. SVAL - Sharpe Ratio Comparison

The current XSVM Sharpe Ratio is 1.04, which is higher than the SVAL Sharpe Ratio of 0.63. The chart below compares the 12-month rolling Sharpe Ratio of XSVM and SVAL.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.04
0.63
XSVM
SVAL

Dividends

XSVM vs. SVAL - Dividend Comparison

XSVM's dividend yield for the trailing twelve months is around 1.49%, less than SVAL's 2.36% yield.


TTM20232022202120202019201820172016201520142013
XSVM
Invesco S&P SmallCap Value with Momentum ETF
1.49%1.31%1.79%1.23%1.21%1.21%2.54%1.90%2.29%2.68%1.31%1.15%
SVAL
iShares US Small Cap Value Factor ETF
2.36%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 -25.29%. The drawdown chart below compares losses from any high point along the way for XSVM and SVAL


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.94%
-8.14%
XSVM
SVAL

Volatility

XSVM vs. SVAL - Volatility Comparison

The current volatility for Invesco S&P SmallCap Value with Momentum ETF (XSVM) is 5.73%, while iShares US Small Cap Value Factor ETF (SVAL) has a volatility of 6.75%. 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.


4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
5.73%
6.75%
XSVM
SVAL