DIHRX vs. IQLT
Compare and contrast key facts about DFA International High Relative Profitability Portfolio (DIHRX) and iShares MSCI Intl Quality Factor ETF (IQLT).
DIHRX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017. IQLT is a passively managed fund by iShares that tracks the performance of the World ex USA Sector Neutral Quality. It was launched on Jan 13, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DIHRX or IQLT.
Key characteristics
| DIHRX | IQLT | |
|---|---|---|
| YTD Return | 3.53% | 5.37% |
| 1Y Return | 14.73% | 17.60% |
| 3Y Return (Ann) | 0.31% | 1.52% |
| 5Y Return (Ann) | 6.28% | 7.03% |
| Sharpe Ratio | 1.12 | 1.34 |
| Sortino Ratio | 1.66 | 1.96 |
| Omega Ratio | 1.20 | 1.23 |
| Calmar Ratio | 1.14 | 1.49 |
| Martin Ratio | 5.69 | 6.73 |
| Ulcer Index | 2.57% | 2.62% |
| Daily Std Dev | 13.03% | 13.14% |
| Max Drawdown | -33.30% | -32.21% |
| Current Drawdown | -6.70% | -6.84% |
Correlation
The correlation between DIHRX and IQLT is 0.95, 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
DIHRX vs. IQLT - Performance Comparison
In the year-to-date period, DIHRX achieves a 3.53% return, which is significantly lower than IQLT's 5.37% 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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DIHRX vs. IQLT - Expense Ratio Comparison
Both DIHRX and IQLT have an expense ratio of 0.30%.
Risk-Adjusted Performance
DIHRX vs. IQLT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International High Relative Profitability Portfolio (DIHRX) and iShares MSCI Intl Quality Factor ETF (IQLT). 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
DIHRX vs. IQLT - Dividend Comparison
DIHRX's dividend yield for the trailing twelve months is around 2.42%, less than IQLT's 2.56% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
DIHRX DFA International High Relative Profitability Portfolio | 2.42% | 2.59% | 3.06% | 2.32% | 1.39% | 2.11% | 2.36% | 0.86% | 0.00% | 0.00% |
IQLT iShares MSCI Intl Quality Factor ETF | 2.56% | 2.27% | 3.14% | 2.24% | 1.60% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% |
Drawdowns
DIHRX vs. IQLT - Drawdown Comparison
The maximum DIHRX drawdown since its inception was -33.30%, roughly equal to the maximum IQLT drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for DIHRX and IQLT. For additional features, visit the drawdowns tool.
Volatility
DIHRX vs. IQLT - Volatility Comparison
The current volatility for DFA International High Relative Profitability Portfolio (DIHRX) is 3.81%, while iShares MSCI Intl Quality Factor ETF (IQLT) has a volatility of 4.08%. This indicates that DIHRX experiences smaller price fluctuations and is considered to be less risky than IQLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.