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

Performance

ILF vs. FLBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Latin American 40 ETF (ILF) and Franklin FTSE Brazil ETF (FLBR). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.95%
3.14%
ILF
FLBR

Returns By Period

In the year-to-date period, ILF achieves a -14.35% return, which is significantly higher than FLBR's -17.95% return.


ILF

YTD

-14.35%

1M

-4.06%

6M

-12.64%

1Y

-7.07%

5Y (annualized)

0.80%

10Y (annualized)

0.49%

FLBR

YTD

-17.95%

1M

-3.25%

6M

-11.16%

1Y

-11.20%

5Y (annualized)

-1.68%

10Y (annualized)

N/A

Key characteristics


ILFFLBR
Sharpe Ratio-0.38-0.58
Sortino Ratio-0.42-0.71
Omega Ratio0.950.92
Calmar Ratio-0.23-0.50
Martin Ratio-0.79-1.00
Ulcer Index8.52%11.62%
Daily Std Dev17.66%20.13%
Max Drawdown-67.48%-57.42%
Current Drawdown-27.27%-21.25%

Compare stocks, funds, or ETFs

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


ILF vs. FLBR - Expense Ratio Comparison

ILF has a 0.48% expense ratio, which is higher than FLBR's 0.19% expense ratio.


ILF
iShares Latin American 40 ETF
Expense ratio chart for ILF: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for FLBR: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Correlation

-0.50.00.51.00.9

The correlation between ILF and FLBR is 0.93, 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.

Risk-Adjusted Performance

ILF vs. FLBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Latin American 40 ETF (ILF) and Franklin FTSE Brazil ETF (FLBR). 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.


Sharpe ratio
The chart of Sharpe ratio for ILF, currently valued at -0.38, compared to the broader market0.002.004.00-0.38-0.58
The chart of Sortino ratio for ILF, currently valued at -0.42, compared to the broader market-2.000.002.004.006.008.0010.00-0.42-0.72
The chart of Omega ratio for ILF, currently valued at 0.95, compared to the broader market0.501.001.502.002.503.000.950.92
The chart of Calmar ratio for ILF, currently valued at -0.37, compared to the broader market0.005.0010.0015.00-0.37-0.51
The chart of Martin ratio for ILF, currently valued at -0.79, compared to the broader market0.0020.0040.0060.0080.00100.00-0.79-1.00
ILF
FLBR

The current ILF Sharpe Ratio is -0.38, which is higher than the FLBR Sharpe Ratio of -0.58. The chart below compares the historical Sharpe Ratios of ILF and FLBR, 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 Ratio-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.38
-0.58
ILF
FLBR

Dividends

ILF vs. FLBR - Dividend Comparison

ILF's dividend yield for the trailing twelve months is around 6.28%, less than FLBR's 7.44% yield.


TTM20232022202120202019201820172016201520142013
ILF
iShares Latin American 40 ETF
6.28%4.61%12.72%8.47%1.88%3.09%3.12%1.81%1.59%3.25%2.32%3.32%
FLBR
Franklin FTSE Brazil ETF
7.44%8.84%11.99%8.71%2.32%3.41%3.72%0.42%0.00%0.00%0.00%0.00%

Drawdowns

ILF vs. FLBR - Drawdown Comparison

The maximum ILF drawdown since its inception was -67.48%, which is greater than FLBR's maximum drawdown of -57.42%. Use the drawdown chart below to compare losses from any high point for ILF and FLBR. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-15.14%
-21.25%
ILF
FLBR

Volatility

ILF vs. FLBR - Volatility Comparison

The current volatility for iShares Latin American 40 ETF (ILF) is 4.26%, while Franklin FTSE Brazil ETF (FLBR) has a volatility of 5.48%. This indicates that ILF experiences smaller price fluctuations and is considered to be less risky than FLBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
5.48%
ILF
FLBR