BDMAX vs. IVLU
BDMAX (BlackRock Global Equity Market Neutral Fund) and IVLU (iShares MSCI International Value Factor ETF) are both funds - BDMAX is a Equity Market Neutral fund actively managed by BlackRock, while IVLU is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value Index. BDMAX is actively managed, while IVLU is passively managed. Over the past 10 years, BDMAX returned 8.14%/yr vs 11.63%/yr for IVLU. At a 0.07 correlation, their price movements are largely independent. BDMAX charges 1.60%/yr vs 0.30%/yr for IVLU.
Performance
BDMAX vs. IVLU - Performance Comparison
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Returns By Period
In the year-to-date period, BDMAX achieves a 11.51% return, which is significantly lower than IVLU's 12.96% return. Over the past 10 years, BDMAX has underperformed IVLU with an annualized return of 8.14%, while IVLU has yielded a comparatively higher 11.63% annualized return.
BDMAX
- 1D
- 0.95%
- 1M
- 2.32%
- YTD
- 11.51%
- 6M
- 13.10%
- 1Y
- 21.47%
- 3Y*
- 21.11%
- 5Y*
- 12.45%
- 10Y*
- 8.14%
IVLU
- 1D
- 0.56%
- 1M
- 2.48%
- YTD
- 12.96%
- 6M
- 14.33%
- 1Y
- 35.32%
- 3Y*
- 23.53%
- 5Y*
- 14.06%
- 10Y*
- 11.63%
BDMAX vs. IVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund | 11.51% | 18.08% | 21.12% | 14.27% | 1.57% | 3.11% | -0.05% | -1.02% | 1.86% | 12.57% |
IVLU iShares MSCI International Value Factor ETF | 12.96% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
Correlation
The correlation between BDMAX and IVLU is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jul 15, 2015 | 0.07 |
Over the past year, BDMAX and IVLU have become more correlated (0.28) than their long-term average of 0.07, meaning their price movements have been converging.
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Return for Risk
BDMAX vs. IVLU — Risk / Return Rank
BDMAX
IVLU
BDMAX vs. IVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Global Equity Market Neutral Fund (BDMAX) and iShares MSCI International Value Factor ETF (IVLU). 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.
| BDMAX | IVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.87 | ||
| Sortino ratioReturn per unit of downside risk | +1.47 | ||
| Omega ratioGain probability vs. loss probability | 1.57 | 1.39 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 6.58 | 2.90 | +3.68 |
| Martin ratioReturn relative to average drawdown | 18.08 | 11.01 | +7.07 |
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Drawdowns
BDMAX vs. IVLU - Drawdown Comparison
The maximum BDMAX drawdown since its inception was -12.37%, smaller than the maximum IVLU drawdown of -41.85%. Use the drawdown chart below to compare losses from any high point for BDMAX and IVLU.
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Drawdown Indicators
| BDMAX | IVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -12.37% | -41.85% | +29.48% |
Max Drawdown (1Y)Largest decline over 1 year | -3.25% | -11.69% | +8.44% |
Max Drawdown (3Y)Largest decline over 3 years | -4.15% | -15.48% | +11.33% |
Max Drawdown (5Y)Largest decline over 5 years | -6.33% | -26.04% | +19.71% |
Max Drawdown (10Y)Largest decline over 10 years | -9.71% | -41.85% | +32.14% |
Current DrawdownCurrent decline from peak | -1.37% | -0.53% | -0.84% |
Average DrawdownAverage peak-to-trough decline | -2.82% | -8.57% | +5.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.18% | 3.09% | -1.91% |
Volatility
BDMAX vs. IVLU - Volatility Comparison
The current volatility for BlackRock Global Equity Market Neutral Fund (BDMAX) is 2.64%, while iShares MSCI International Value Factor ETF (IVLU) has a volatility of 5.44%. This indicates that BDMAX experiences smaller price fluctuations and is considered to be less risky than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BDMAX | IVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.64% | 5.44% | -2.80% |
Volatility (6M)Calculated over the trailing 6-month period | 4.71% | 12.85% | -8.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.05% | 15.65% | -8.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.58% | 16.58% | -10.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.84% | 17.66% | -11.82% |
BDMAX vs. IVLU - Expense Ratio Comparison
BDMAX has a 1.60% expense ratio, which is higher than IVLU's 0.30% expense ratio.
Dividends
BDMAX vs. IVLU - Dividend Comparison
BDMAX's dividend yield for the trailing twelve months is around 8.02%, more than IVLU's 3.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund | 8.02% | 8.94% | 13.39% | 7.14% | 0.00% | 1.25% | 0.04% | 6.60% | 0.85% | 0.00% | 0.00% | 1.56% |
IVLU iShares MSCI International Value Factor ETF | 3.28% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
Frequently Asked Questions
BDMAX and IVLU have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IVLU has higher volatility (5.44%) compared to BDMAX (2.64%). In terms of maximum drawdown, BDMAX dropped -12.37% vs IVLU's -41.85%.
BDMAX currently has the higher Sharpe Ratio (3.04 vs 2.17), 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.
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