PortfoliosLab logo
GLOF vs. STLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GLOF and STLG 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.


-0.50.00.51.00.9

Performance

GLOF vs. STLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Global Equity Factor ETF (GLOF) and iShares Factors US Growth Style ETF (STLG). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
2.03%
4.78%
GLOF
STLG

Key characteristics

Sharpe Ratio

GLOF:

1.60

STLG:

2.26

Sortino Ratio

GLOF:

2.17

STLG:

2.91

Omega Ratio

GLOF:

1.28

STLG:

1.40

Calmar Ratio

GLOF:

2.16

STLG:

3.18

Martin Ratio

GLOF:

9.17

STLG:

11.91

Ulcer Index

GLOF:

2.06%

STLG:

3.59%

Daily Std Dev

GLOF:

11.80%

STLG:

18.94%

Max Drawdown

GLOF:

-34.12%

STLG:

-31.34%

Current Drawdown

GLOF:

-3.02%

STLG:

-3.39%

Returns By Period

In the year-to-date period, GLOF achieves a 0.85% return, which is significantly lower than STLG's 0.98% return.


GLOF

YTD

0.85%

1M

-2.69%

6M

2.03%

1Y

19.23%

5Y*

9.42%

10Y*

N/A

STLG

YTD

0.98%

1M

-1.14%

6M

4.78%

1Y

39.28%

5Y*

N/A

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

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


GLOF vs. STLG - Expense Ratio Comparison

GLOF has a 0.20% expense ratio, which is lower than STLG's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for STLG: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for GLOF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

GLOF vs. STLG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GLOF
The Risk-Adjusted Performance Rank of GLOF is 6969
Overall Rank
The Sharpe Ratio Rank of GLOF is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of GLOF is 6767
Sortino Ratio Rank
The Omega Ratio Rank of GLOF is 6767
Omega Ratio Rank
The Calmar Ratio Rank of GLOF is 6969
Calmar Ratio Rank
The Martin Ratio Rank of GLOF is 7272
Martin Ratio Rank

STLG
The Risk-Adjusted Performance Rank of STLG is 8484
Overall Rank
The Sharpe Ratio Rank of STLG is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of STLG is 8484
Sortino Ratio Rank
The Omega Ratio Rank of STLG is 8484
Omega Ratio Rank
The Calmar Ratio Rank of STLG is 8383
Calmar Ratio Rank
The Martin Ratio Rank of STLG is 8181
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

GLOF vs. STLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and iShares Factors US Growth Style ETF (STLG). 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.


The chart of Sharpe ratio for GLOF, currently valued at 1.60, compared to the broader market0.002.004.001.602.10
The chart of Sortino ratio for GLOF, currently valued at 2.17, compared to the broader market-2.000.002.004.006.008.0010.002.172.73
The chart of Omega ratio for GLOF, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.37
The chart of Calmar ratio for GLOF, currently valued at 2.16, compared to the broader market0.005.0010.0015.002.162.94
The chart of Martin ratio for GLOF, currently valued at 9.17, compared to the broader market0.0020.0040.0060.0080.00100.009.1711.00
GLOF
STLG

The current GLOF Sharpe Ratio is 1.60, which is comparable to the STLG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of GLOF and STLG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.00AugustSeptemberOctoberNovemberDecember2025
1.60
2.10
GLOF
STLG

Dividends

GLOF vs. STLG - Dividend Comparison

GLOF's dividend yield for the trailing twelve months is around 2.57%, more than STLG's 0.33% yield.


TTM2024202320222021202020192018201720162015
GLOF
iShares Global Equity Factor ETF
2.57%2.59%2.51%2.53%1.90%1.73%2.41%2.03%1.94%1.94%0.92%
STLG
iShares Factors US Growth Style ETF
0.33%0.33%0.08%0.14%0.00%0.75%0.00%0.00%0.00%0.00%0.00%

Drawdowns

GLOF vs. STLG - Drawdown Comparison

The maximum GLOF drawdown since its inception was -34.12%, which is greater than STLG's maximum drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for GLOF and STLG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.02%
-3.39%
GLOF
STLG

Volatility

GLOF vs. STLG - Volatility Comparison

The current volatility for iShares Global Equity Factor ETF (GLOF) is 3.47%, while iShares Factors US Growth Style ETF (STLG) has a volatility of 6.41%. This indicates that GLOF experiences smaller price fluctuations and is considered to be less risky than STLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
3.47%
6.41%
GLOF
STLG