PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
XSVM vs. SVAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

XSVM vs. SVAL

Last updated Jun 23, 2026

XSVM (Invesco S&P SmallCap Value with Momentum ETF) and SVAL (iShares US Small Cap Value Factor ETF) are both exchange-traded funds - XSVM is a Momentum fund tracking the S&P SmallCap 600 High Momentum Value Index, while SVAL is a Small Cap Value Equities fund tracking the Russell 2000 Focused Value Select Index. Both are passively managed. Over the past 5 years, XSVM returned 8.01%/yr vs 8.07%/yr for SVAL. Their correlation of 0.93 suggests significant overlap in exposure. XSVM charges 0.37%/yr vs 0.20%/yr for SVAL.

Performance

XSVM vs. SVAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Value with Momentum ETF (XSVM) and iShares US Small Cap Value Factor ETF (SVAL). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

The year-to-date returns for both stocks are quite close, with XSVM having a 20.07% return and SVAL slightly lower at 19.19%.

XSVM

1D
-0.05%
1M
2.87%
YTD
20.07%
6M
17.31%
1Y
39.24%
3Y*
17.36%
5Y*
8.01%
10Y*
13.24%

SVAL

1D
0.07%
1M
2.76%
YTD
19.19%
6M
16.40%
1Y
38.96%
3Y*
18.73%
5Y*
8.07%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

XSVM vs. SVAL - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
XSVM
Invesco S&P SmallCap Value with Momentum ETF		20.07%7.47%2.30%20.20%-13.63%56.36%27.49%
SVAL
iShares US Small Cap Value Factor ETF		19.19%8.23%7.54%12.27%-10.15%33.18%29.82%

Correlation

The correlation between XSVM and SVAL is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.94

Correlation (3Y)
Calculated over the trailing 3-year period

0.94

Correlation (5Y)
Calculated over the trailing 5-year period

0.95

Correlation (All Time)
Calculated using the full available price history since Oct 29, 2020

0.93

The correlation between XSVM and SVAL has been stable across timeframes, ranging from 0.93 to 0.95 - a consistent structural relationship.

XSVM vs. SVAL - Sectors Allocation Comparison

Sectors
XSVM
SVAL

Financial Services

38.7%
23.2%

Consumer Cyclical

17.4%
12.9%

Technology

9.5%
12.1%

Energy

9.3%
8.3%

Consumer Defensive

6.9%
4.0%

Industrials

6.3%
15.2%

Real Estate

4.8%
3.1%

Communication Services

2.8%
1.0%

Basic Materials

2.0%
5.6%

Utilities

1.2%
3.6%

Healthcare

1.1%
10.2%

Financial Services

XSVM
38.7%
SVAL
23.2%

Consumer Cyclical

XSVM
17.4%
SVAL
12.9%

Technology

XSVM
9.5%
SVAL
12.1%

Energy

XSVM
9.3%
SVAL
8.3%

Consumer Defensive

XSVM
6.9%
SVAL
4.0%

Industrials

XSVM
6.3%
SVAL
15.2%

Real Estate

XSVM
4.8%
SVAL
3.1%

Communication Services

XSVM
2.8%
SVAL
1.0%

Basic Materials

XSVM
2.0%
SVAL
5.6%

Utilities

XSVM
1.2%
SVAL
3.6%

Healthcare

XSVM
1.1%
SVAL
10.2%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco S&P SmallCap Value with Momentum ETF

iShares US Small Cap Value Factor ETF

Often compared with XSVM:
XSVM vs. XSMOXSVM vs. AVUVXSVM vs. RWJXSVM vs. XSHQXSVM vs. SPHBXSVM vs. DGRSXSVM vs. RYPRX
Often compared with SVAL:
SVAL vs. AVUVSVAL vs. SPYVSVAL vs. SLYVSVAL vs. IJSSVAL vs. IWOSVAL vs. SCHDSVAL vs. VDC

Return for Risk

XSVM vs. SVAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
XSVM
XSVM Risk / Return Rank: 7070
Overall Rank
XSVM Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
XSVM Sortino Ratio Rank: 7070
Sortino Ratio Rank
XSVM Omega Ratio Rank: 6464
Omega Ratio Rank
XSVM Calmar Ratio Rank: 7878
Calmar Ratio Rank
XSVM Martin Ratio Rank: 6868
Martin Ratio Rank
SVAL
SVAL Risk / Return Rank: 7474
Overall Rank
SVAL Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
SVAL Sortino Ratio Rank: 7474
Sortino Ratio Rank
SVAL Omega Ratio Rank: 6767
Omega Ratio Rank
SVAL Calmar Ratio Rank: 8484
Calmar Ratio Rank
SVAL Martin Ratio Rank: 7575
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

XSVM vs. SVAL - Risk-Adjusted Trends 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

XSVMSVALDifference
Sharpe ratioReturn per unit of total volatility
2.13
2.20

-0.07

Sortino ratioReturn per unit of downside risk
3.06
3.17

-0.11

Omega ratioGain probability vs. loss probability

1.37

1.38

-0.01

Calmar ratioReturn relative to maximum drawdown

3.91

4.38

-0.47

Martin ratioReturn relative to average drawdown

12.10

13.78

-1.68

XSVM vs. SVAL - Sharpe Ratio Comparison

The current XSVM Sharpe Ratio is 2.13, which is comparable to the SVAL Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of XSVM and SVAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

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 -27.44%. Use the drawdown chart below to compare losses from any high point for XSVM and SVAL.

Loading charts...

Drawdown Indicators

XSVMSVALDifference

Max Drawdown

Largest peak-to-trough decline

-62.57%

-27.44%

-35.13%

Max Drawdown (1Y)

Largest decline over 1 year

-10.08%

-8.94%

-1.14%

Max Drawdown (3Y)

Largest decline over 3 years

-26.21%

-27.44%

+1.23%

Max Drawdown (5Y)

Largest decline over 5 years

-26.21%

-27.44%

+1.23%

Max Drawdown (10Y)

Largest decline over 10 years

-49.02%

—

—

Current Drawdown

Current decline from peak

-1.49%

-1.71%

+0.22%

Average Drawdown

Average peak-to-trough decline

-11.54%

-8.44%

-3.10%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.25%

2.83%

+0.42%

Volatility

XSVM vs. SVAL - Volatility Comparison

Invesco S&P SmallCap Value with Momentum ETF (XSVM) has a higher volatility of 4.60% compared to iShares US Small Cap Value Factor ETF (SVAL) at 4.02%. This indicates that XSVM's price experiences larger fluctuations and is considered to be riskier than SVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

XSVMSVALDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.60%

4.02%

+0.58%

Volatility (6M)

Calculated over the trailing 6-month period

12.27%

11.70%

+0.57%

Volatility (1Y)

Calculated over the trailing 1-year period

18.57%

17.85%

+0.72%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.55%

22.24%

+0.31%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

25.09%

23.22%

+1.87%

XSVM vs. SVAL - Expense Ratio Comparison

XSVM has a 0.37% expense ratio, which is higher than SVAL's 0.20% expense ratio.

Dividends

XSVM vs. SVAL - Dividend Comparison

XSVM's dividend yield for the trailing twelve months is around 2.23%, more than SVAL's 2.14% yield.

PositionTTM20252024202320222021202020192018201720162015
SVAL
iShares US Small Cap Value Factor ETF		2.14%2.33%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		2.23%2.29%1.69%1.31%1.79%1.23%1.21%1.22%2.54%1.90%2.29%2.68%

Frequently Asked Questions

With a correlation of 0.94, XSVM and SVAL move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

XSVM has higher volatility (4.60%) compared to SVAL (4.02%). In terms of maximum drawdown, XSVM dropped -62.57% vs SVAL's -27.44%.

On 5-year performance, SVAL leads with 8.07% vs 8.01% for XSVM. On fees, SVAL is cheaper at 0.20% per year. On volatility, SVAL has been the lower-risk option at 4.02%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SVAL has performed better with a 8.07% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SVAL is cheaper with a 0.20% expense ratio, compared with 0.37% for XSVM.

XSVM has the higher dividend yield at 2.23%, compared with 2.14% for SVAL.

XSVM is categorized as Momentum, while SVAL is Small Cap Value Equities. XSVM tracks S&P SmallCap 600 High Momentum Value Index, while SVAL tracks Russell 2000 Focused Value Select Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.37% for XSVM and 0.20% for SVAL.

SVAL currently has the higher Sharpe Ratio (2.20 vs 2.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for XSVM and SVAL

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer