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

Key characteristics


INTFLRGF
YTD Return8.84%29.28%
1Y Return20.68%43.69%
3Y Return (Ann)3.70%12.61%
5Y Return (Ann)5.94%14.78%
Sharpe Ratio1.613.30
Sortino Ratio2.264.42
Omega Ratio1.281.61
Calmar Ratio2.034.94
Martin Ratio9.0122.07
Ulcer Index2.33%1.92%
Daily Std Dev13.07%12.88%
Max Drawdown-40.39%-36.03%
Current Drawdown-5.88%0.00%

Correlation

-0.50.00.51.00.7

The correlation between INTF and LRGF is 0.74, 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. LRGF - Performance Comparison

In the year-to-date period, INTF achieves a 8.84% return, which is significantly lower than LRGF's 29.28% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.48%
16.13%
INTF
LRGF

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INTF vs. LRGF - Expense Ratio Comparison

INTF has a 0.30% expense ratio, which is higher than LRGF's 0.20% expense ratio.


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 LRGF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

INTF vs. LRGF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Multifactor ETF (INTF) and iShares MSCI USA Multifactor ETF (LRGF). 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 1.61, compared to the broader market-2.000.002.004.001.61
Sortino ratio
The chart of Sortino ratio for INTF, currently valued at 2.26, compared to the broader market0.005.0010.002.26
Omega ratio
The chart of Omega ratio for INTF, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for INTF, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.03
Martin ratio
The chart of Martin ratio for INTF, currently valued at 9.01, compared to the broader market0.0020.0040.0060.0080.00100.009.01
LRGF
Sharpe ratio
The chart of Sharpe ratio for LRGF, currently valued at 3.30, compared to the broader market-2.000.002.004.003.30
Sortino ratio
The chart of Sortino ratio for LRGF, currently valued at 4.42, compared to the broader market0.005.0010.004.42
Omega ratio
The chart of Omega ratio for LRGF, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for LRGF, currently valued at 4.94, compared to the broader market0.005.0010.0015.004.94
Martin ratio
The chart of Martin ratio for LRGF, currently valued at 22.07, compared to the broader market0.0020.0040.0060.0080.00100.0022.07

INTF vs. LRGF - Sharpe Ratio Comparison

The current INTF Sharpe Ratio is 1.61, which is lower than the LRGF Sharpe Ratio of 3.30. The chart below compares the historical Sharpe Ratios of INTF and LRGF, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.61
3.30
INTF
LRGF

Dividends

INTF vs. LRGF - Dividend Comparison

INTF's dividend yield for the trailing twelve months is around 3.49%, more than LRGF's 1.18% yield.


TTM202320222021202020192018201720162015
INTF
iShares MSCI Intl Multifactor ETF
3.49%3.59%2.81%5.38%2.06%3.65%2.62%3.25%1.66%0.85%
LRGF
iShares MSCI USA Multifactor ETF
1.18%1.50%1.78%1.06%1.35%1.76%3.27%1.68%1.56%0.84%

Drawdowns

INTF vs. LRGF - Drawdown Comparison

The maximum INTF drawdown since its inception was -40.39%, which is greater than LRGF's maximum drawdown of -36.03%. Use the drawdown chart below to compare losses from any high point for INTF and LRGF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.88%
0
INTF
LRGF

Volatility

INTF vs. LRGF - Volatility Comparison

iShares MSCI Intl Multifactor ETF (INTF) and iShares MSCI USA Multifactor ETF (LRGF) have volatilities of 4.19% and 4.00%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
4.00%
INTF
LRGF