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

Correlation

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.


-0.50.00.51.00.9

Performance

INTF vs. IVLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Multifactor ETF (INTF) and iShares MSCI Intl Value Factor ETF (IVLU). The values are adjusted to include any dividend payments, if applicable.

45.00%50.00%55.00%60.00%65.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
53.23%
46.88%
INTF
IVLU

Key characteristics

Sharpe Ratio

INTF:

0.65

IVLU:

0.64

Sortino Ratio

INTF:

0.96

IVLU:

0.93

Omega Ratio

INTF:

1.12

IVLU:

1.12

Calmar Ratio

INTF:

0.95

IVLU:

0.92

Martin Ratio

INTF:

2.59

IVLU:

2.53

Ulcer Index

INTF:

3.25%

IVLU:

3.26%

Daily Std Dev

INTF:

12.99%

IVLU:

12.88%

Max Drawdown

INTF:

-40.39%

IVLU:

-41.86%

Current Drawdown

INTF:

-8.86%

IVLU:

-8.56%

Returns By Period

The year-to-date returns for both stocks are quite close, with INTF having a 5.40% return and IVLU slightly lower at 5.39%.


INTF

YTD

5.40%

1M

-1.11%

6M

-0.33%

1Y

6.77%

5Y*

4.76%

10Y*

N/A

IVLU

YTD

5.39%

1M

-1.32%

6M

0.61%

1Y

6.51%

5Y*

5.58%

10Y*

N/A

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.


Sharpe ratio
The chart of Sharpe ratio for INTF, currently valued at 0.65, compared to the broader market0.002.004.000.650.64
The chart of Sortino ratio for INTF, currently valued at 0.96, compared to the broader market-2.000.002.004.006.008.0010.000.960.93
The chart of Omega ratio for INTF, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.12
The chart of Calmar ratio for INTF, currently valued at 0.95, compared to the broader market0.005.0010.0015.000.950.92
The chart of Martin ratio for INTF, currently valued at 2.59, compared to the broader market0.0020.0040.0060.0080.00100.002.592.53
INTF
IVLU

The current INTF Sharpe Ratio is 0.65, which is comparable to the IVLU Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of INTF and IVLU, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.65
0.64
INTF
IVLU

Dividends

INTF vs. IVLU - Dividend Comparison

INTF's dividend yield for the trailing twelve months is around 3.55%, less than IVLU's 4.52% yield.


TTM202320222021202020192018201720162015
INTF
iShares MSCI Intl Multifactor ETF
3.55%3.59%2.81%5.38%2.06%3.65%2.62%3.25%1.66%0.85%
IVLU
iShares MSCI Intl Value Factor ETF
4.52%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%JulyAugustSeptemberOctoberNovemberDecember
-8.86%
-8.56%
INTF
IVLU

Volatility

INTF vs. IVLU - Volatility Comparison

iShares MSCI Intl Multifactor ETF (INTF) and iShares MSCI Intl Value Factor ETF (IVLU) have volatilities of 3.52% and 3.38%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.52%
3.38%
INTF
IVLU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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