GLOF vs. STLG
Compare and contrast key facts about iShares Global Equity Factor ETF (GLOF) and iShares Factors US Growth Style ETF (STLG).
GLOF and STLG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GLOF is a passively managed fund by iShares that tracks the performance of the STOXX Global Equity Factor Index. It was launched on Apr 28, 2005. STLG is a passively managed fund by iShares that tracks the performance of the Russell US Large Cap Factors Growth Style Index. It was launched on Jan 14, 2020. Both GLOF and STLG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GLOF or STLG.
Key characteristics
| GLOF | STLG | |
|---|---|---|
| YTD Return | 18.70% | 35.23% |
| 1Y Return | 26.80% | 43.63% |
| 3Y Return (Ann) | 7.02% | 11.96% |
| Sharpe Ratio | 2.31 | 2.42 |
| Sortino Ratio | 3.11 | 3.15 |
| Omega Ratio | 1.41 | 1.44 |
| Calmar Ratio | 3.08 | 3.22 |
| Martin Ratio | 14.19 | 12.32 |
| Ulcer Index | 1.89% | 3.51% |
| Daily Std Dev | 11.63% | 17.89% |
| Max Drawdown | -34.12% | -31.34% |
| Current Drawdown | -1.74% | -1.68% |
Correlation
The correlation between GLOF and STLG is 0.87, 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
GLOF vs. STLG - Performance Comparison
In the year-to-date period, GLOF achieves a 18.70% return, which is significantly lower than STLG's 35.23% 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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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%.
Risk-Adjusted Performance
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.
Dividends
GLOF vs. STLG - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 2.27%, more than STLG's 0.22% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 2.27% | 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 | 0.22% | 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.
Volatility
GLOF vs. STLG - Volatility Comparison
The current volatility for iShares Global Equity Factor ETF (GLOF) is 2.95%, while iShares Factors US Growth Style ETF (STLG) has a volatility of 5.55%. 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.