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XSVM vs. VOE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XSVMVOE
YTD Return0.33%3.33%
1Y Return20.24%13.47%
3Y Return (Ann)5.95%5.17%
5Y Return (Ann)14.04%8.40%
10Y Return (Ann)10.31%8.67%
Sharpe Ratio1.041.06
Daily Std Dev20.34%13.03%
Max Drawdown-62.57%-61.55%
Current Drawdown-4.94%-4.36%

Correlation

0.86
-1.001.00

The correlation between XSVM and VOE is 0.86, 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. VOE - Performance Comparison

In the year-to-date period, XSVM achieves a 0.33% return, which is significantly lower than VOE's 3.33% return. Over the past 10 years, XSVM has outperformed VOE with an annualized return of 10.31%, while VOE has yielded a comparatively lower 8.67% 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%20.00%NovemberDecember2024FebruaryMarchApril
17.18%
16.53%
XSVM
VOE

Compare stocks, funds, or ETFs


Invesco S&P SmallCap Value with Momentum ETF

Vanguard Mid-Cap Value ETF

XSVM vs. VOE - Expense Ratio Comparison

XSVM has a 0.39% expense ratio, which is higher than VOE's 0.07% 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%0.07%

Risk-Adjusted Performance

XSVM vs. VOE - 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 Vanguard Mid-Cap Value ETF (VOE). 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
VOE
Sharpe ratio
The Sharpe ratio of VOE compared to the broader market0.002.004.001.06
Sortino ratio
The Sortino ratio of VOE compared to the broader market-2.000.002.004.006.008.0010.001.60
Omega ratio
The Omega ratio of VOE compared to the broader market1.001.502.002.501.19
Calmar ratio
The Calmar ratio of VOE compared to the broader market0.002.004.006.008.0010.0012.000.86
Martin ratio
The Martin ratio of VOE compared to the broader market0.0020.0040.0060.0080.002.96

XSVM vs. VOE - Sharpe Ratio Comparison

The current XSVM Sharpe Ratio is 1.04, which roughly equals the VOE Sharpe Ratio of 1.06. The chart below compares the 12-month rolling Sharpe Ratio of XSVM and VOE.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.04
1.06
XSVM
VOE

Dividends

XSVM vs. VOE - Dividend Comparison

XSVM's dividend yield for the trailing twelve months is around 1.49%, less than VOE's 2.24% 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%
VOE
Vanguard Mid-Cap Value ETF
2.24%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.92%2.05%1.67%1.53%

Drawdowns

XSVM vs. VOE - Drawdown Comparison

The maximum XSVM drawdown since its inception was -62.57%, roughly equal to the maximum VOE drawdown of -61.55%. The drawdown chart below compares losses from any high point along the way for XSVM and VOE


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.94%
-4.36%
XSVM
VOE

Volatility

XSVM vs. VOE - Volatility Comparison

Invesco S&P SmallCap Value with Momentum ETF (XSVM) has a higher volatility of 5.73% compared to Vanguard Mid-Cap Value ETF (VOE) at 3.80%. This indicates that XSVM's price experiences larger fluctuations and is considered to be riskier than VOE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%NovemberDecember2024FebruaryMarchApril
5.73%
3.80%
XSVM
VOE