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IDHQ vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IDHQVEA
YTD Return5.92%6.75%
1Y Return15.89%18.19%
3Y Return (Ann)0.19%1.61%
5Y Return (Ann)6.33%6.28%
10Y Return (Ann)7.02%5.55%
Sharpe Ratio1.201.45
Sortino Ratio1.772.05
Omega Ratio1.211.26
Calmar Ratio1.111.55
Martin Ratio6.377.92
Ulcer Index2.58%2.38%
Daily Std Dev13.68%13.01%
Max Drawdown-73.84%-60.70%
Current Drawdown-7.41%-5.78%

Correlation

-0.50.00.51.00.8

The correlation between IDHQ and VEA is 0.81, 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

IDHQ vs. VEA - Performance Comparison

In the year-to-date period, IDHQ achieves a 5.92% return, which is significantly lower than VEA's 6.75% return. Over the past 10 years, IDHQ has outperformed VEA with an annualized return of 7.02%, while VEA has yielded a comparatively lower 5.55% annualized return. 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%JuneJulyAugustSeptemberOctoberNovember
-2.03%
0.27%
IDHQ
VEA

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IDHQ vs. VEA - Expense Ratio Comparison

IDHQ has a 0.29% expense ratio, which is higher than VEA's 0.05% expense ratio.


IDHQ
Invesco S&P International Developed High Quality ETF
Expense ratio chart for IDHQ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

IDHQ vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed High Quality ETF (IDHQ) and Vanguard FTSE Developed Markets ETF (VEA). 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.


IDHQ
Sharpe ratio
The chart of Sharpe ratio for IDHQ, currently valued at 1.20, compared to the broader market-2.000.002.004.006.001.20
Sortino ratio
The chart of Sortino ratio for IDHQ, currently valued at 1.77, compared to the broader market0.005.0010.001.77
Omega ratio
The chart of Omega ratio for IDHQ, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for IDHQ, currently valued at 1.11, compared to the broader market0.005.0010.0015.001.11
Martin ratio
The chart of Martin ratio for IDHQ, currently valued at 6.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.37
VEA
Sharpe ratio
The chart of Sharpe ratio for VEA, currently valued at 1.45, compared to the broader market-2.000.002.004.006.001.45
Sortino ratio
The chart of Sortino ratio for VEA, currently valued at 2.05, compared to the broader market0.005.0010.002.05
Omega ratio
The chart of Omega ratio for VEA, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for VEA, currently valued at 1.55, compared to the broader market0.005.0010.0015.001.55
Martin ratio
The chart of Martin ratio for VEA, currently valued at 7.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.92

IDHQ vs. VEA - Sharpe Ratio Comparison

The current IDHQ Sharpe Ratio is 1.20, which is comparable to the VEA Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of IDHQ and VEA, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.20
1.45
IDHQ
VEA

Dividends

IDHQ vs. VEA - Dividend Comparison

IDHQ's dividend yield for the trailing twelve months is around 2.11%, less than VEA's 2.99% yield.


TTM20232022202120202019201820172016201520142013
IDHQ
Invesco S&P International Developed High Quality ETF
2.11%2.52%3.32%2.10%1.60%2.10%2.67%1.68%2.36%1.71%1.75%1.70%
VEA
Vanguard FTSE Developed Markets ETF
2.99%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

IDHQ vs. VEA - Drawdown Comparison

The maximum IDHQ drawdown since its inception was -73.84%, which is greater than VEA's maximum drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for IDHQ and VEA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.41%
-5.78%
IDHQ
VEA

Volatility

IDHQ vs. VEA - Volatility Comparison

Invesco S&P International Developed High Quality ETF (IDHQ) has a higher volatility of 4.93% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.69%. This indicates that IDHQ's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
3.69%
IDHQ
VEA