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INTF vs. IVLU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


INTFIVLU
YTD Return11.86%11.54%
1Y Return19.83%15.86%
3Y Return (Ann)4.50%8.05%
5Y Return (Ann)7.25%8.30%
Sharpe Ratio1.501.18
Daily Std Dev13.02%13.24%
Max Drawdown-40.39%-41.86%
Current Drawdown-1.26%-1.13%

Correlation

-0.50.00.51.00.9

The correlation between INTF and IVLU 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

INTF vs. IVLU - Performance Comparison

The year-to-date returns for both stocks are quite close, with INTF having a 11.86% return and IVLU slightly lower at 11.54%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%AprilMayJuneJulyAugustSeptember
5.46%
5.34%
INTF
IVLU

Compare stocks, funds, or ETFs

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


INTF vs. IVLU - Expense Ratio Comparison

Both INTF and IVLU have an expense ratio of 0.30%.


INTF
iShares MSCI Intl Multifactor ETF
Expense ratio chart for INTF: 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%
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

INTF vs. IVLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Multifactor ETF (INTF) 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.


INTF
Sharpe ratio
The chart of Sharpe ratio for INTF, currently valued at 1.50, compared to the broader market0.002.004.001.50
Sortino ratio
The chart of Sortino ratio for INTF, currently valued at 2.10, compared to the broader market-2.000.002.004.006.008.0010.0012.002.10
Omega ratio
The chart of Omega ratio for INTF, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for INTF, currently valued at 1.39, compared to the broader market0.005.0010.0015.001.39
Martin ratio
The chart of Martin ratio for INTF, currently valued at 7.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.94
IVLU
Sharpe ratio
The chart of Sharpe ratio for IVLU, currently valued at 1.18, compared to the broader market0.002.004.001.18
Sortino ratio
The chart of Sortino ratio for IVLU, currently valued at 1.65, compared to the broader market-2.000.002.004.006.008.0010.0012.001.65
Omega ratio
The chart of Omega ratio for IVLU, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for IVLU, currently valued at 1.61, compared to the broader market0.005.0010.0015.001.61
Martin ratio
The chart of Martin ratio for IVLU, currently valued at 5.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.29

INTF vs. IVLU - Sharpe Ratio Comparison

The current INTF Sharpe Ratio is 1.50, which roughly equals the IVLU Sharpe Ratio of 1.18. The chart below compares the 12-month rolling Sharpe Ratio of INTF and IVLU.


Rolling 12-month Sharpe Ratio0.501.001.502.00AprilMayJuneJulyAugustSeptember
1.50
1.18
INTF
IVLU

Dividends

INTF vs. IVLU - Dividend Comparison

INTF's dividend yield for the trailing twelve months is around 3.39%, less than IVLU's 4.37% yield.


TTM202320222021202020192018201720162015
INTF
iShares MSCI Intl Multifactor ETF
3.39%3.59%2.81%5.38%2.06%3.65%2.62%3.26%1.66%0.85%
IVLU
iShares MSCI Intl Value Factor ETF
4.37%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%

Drawdowns

INTF vs. IVLU - Drawdown Comparison

The maximum INTF drawdown since its inception was -40.39%, roughly equal to the maximum IVLU drawdown of -41.86%. Use the drawdown chart below to compare losses from any high point for INTF and IVLU. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.26%
-1.13%
INTF
IVLU

Volatility

INTF vs. IVLU - Volatility Comparison

The current volatility for iShares MSCI Intl Multifactor ETF (INTF) is 4.18%, while iShares MSCI Intl Value Factor ETF (IVLU) has a volatility of 4.52%. This indicates that INTF 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.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.18%
4.52%
INTF
IVLU