PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FLQH vs. IVLU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLQHIVLU

Correlation

-0.50.00.51.00.7

The correlation between FLQH and IVLU is 0.71, 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

FLQH vs. IVLU - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember0
-2.26%
FLQH
IVLU

Compare stocks, funds, or ETFs

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


FLQH vs. IVLU - Expense Ratio Comparison

FLQH has a 0.40% expense ratio, which is higher than IVLU's 0.30% expense ratio.


FLQH
Franklin LibertyQ International Equity Hedged ETF
Expense ratio chart for FLQH: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for IVLU: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

FLQH vs. IVLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin LibertyQ International Equity Hedged ETF (FLQH) and iShares MSCI Intl 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.


FLQH
Sharpe ratio
The chart of Sharpe ratio for FLQH, currently valued at 1.82, compared to the broader market-2.000.002.004.001.82
Sortino ratio
The chart of Sortino ratio for FLQH, currently valued at 3.13, compared to the broader market-2.000.002.004.006.008.0010.0012.003.13
Omega ratio
The chart of Omega ratio for FLQH, currently valued at 1.94, compared to the broader market1.001.502.002.503.001.94
Calmar ratio
The chart of Calmar ratio for FLQH, currently valued at 1.42, compared to the broader market0.005.0010.0015.001.42
Martin ratio
The chart of Martin ratio for FLQH, currently valued at 23.07, compared to the broader market0.0020.0040.0060.0080.00100.0023.07
IVLU
Sharpe ratio
The chart of Sharpe ratio for IVLU, currently valued at 1.28, compared to the broader market-2.000.002.004.001.28
Sortino ratio
The chart of Sortino ratio for IVLU, currently valued at 1.77, compared to the broader market-2.000.002.004.006.008.0010.0012.001.77
Omega ratio
The chart of Omega ratio for IVLU, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for IVLU, currently valued at 2.08, compared to the broader market0.005.0010.0015.002.08
Martin ratio
The chart of Martin ratio for IVLU, currently valued at 6.92, compared to the broader market0.0020.0040.0060.0080.00100.006.92

FLQH vs. IVLU - Sharpe Ratio Comparison


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.82
1.28
FLQH
IVLU

Dividends

FLQH vs. IVLU - Dividend Comparison

FLQH has not paid dividends to shareholders, while IVLU's dividend yield for the trailing twelve months is around 4.55%.


TTM202320222021202020192018201720162015
FLQH
Franklin LibertyQ International Equity Hedged ETF
3.83%3.17%0.87%2.77%6.23%1.61%5.67%4.02%11.56%0.00%
IVLU
iShares MSCI Intl Value Factor ETF
4.55%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%

Drawdowns

FLQH vs. IVLU - Drawdown Comparison


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-7.13%
FLQH
IVLU

Volatility

FLQH vs. IVLU - Volatility Comparison

The current volatility for Franklin LibertyQ International Equity Hedged ETF (FLQH) is 0.00%, while iShares MSCI Intl Value Factor ETF (IVLU) has a volatility of 4.13%. This indicates that FLQH 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.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember0
4.13%
FLQH
IVLU