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

Key characteristics


INTFXLK
YTD Return8.84%23.85%
1Y Return20.68%36.57%
3Y Return (Ann)3.70%13.33%
5Y Return (Ann)5.94%23.65%
Sharpe Ratio1.611.65
Sortino Ratio2.262.19
Omega Ratio1.281.30
Calmar Ratio2.032.12
Martin Ratio9.017.32
Ulcer Index2.33%4.91%
Daily Std Dev13.07%21.79%
Max Drawdown-40.39%-82.05%
Current Drawdown-5.88%-0.11%

Correlation

-0.50.00.51.00.6

The correlation between INTF and XLK is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

INTF vs. XLK - Performance Comparison

In the year-to-date period, INTF achieves a 8.84% return, which is significantly lower than XLK's 23.85% 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%
15.79%
INTF
XLK

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INTF vs. XLK - Expense Ratio Comparison

INTF has a 0.30% expense ratio, which is higher than XLK's 0.13% 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 XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

INTF vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Multifactor ETF (INTF) and Technology Select Sector SPDR Fund (XLK). 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 market-2.000.002.004.006.008.0010.0012.002.26
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
XLK
Sharpe ratio
The chart of Sharpe ratio for XLK, currently valued at 1.65, compared to the broader market-2.000.002.004.001.65
Sortino ratio
The chart of Sortino ratio for XLK, currently valued at 2.19, compared to the broader market-2.000.002.004.006.008.0010.0012.002.19
Omega ratio
The chart of Omega ratio for XLK, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for XLK, currently valued at 2.12, compared to the broader market0.005.0010.0015.002.12
Martin ratio
The chart of Martin ratio for XLK, currently valued at 7.32, compared to the broader market0.0020.0040.0060.0080.00100.007.32

INTF vs. XLK - Sharpe Ratio Comparison

The current INTF Sharpe Ratio is 1.61, which is comparable to the XLK Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of INTF and XLK, 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 Ratio1.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.61
1.65
INTF
XLK

Dividends

INTF vs. XLK - Dividend Comparison

INTF's dividend yield for the trailing twelve months is around 3.49%, more than XLK's 0.66% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
XLK
Technology Select Sector SPDR Fund
0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

INTF vs. XLK - Drawdown Comparison

The maximum INTF drawdown since its inception was -40.39%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for INTF and XLK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.88%
-0.11%
INTF
XLK

Volatility

INTF vs. XLK - Volatility Comparison

The current volatility for iShares MSCI Intl Multifactor ETF (INTF) is 4.19%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 6.29%. This indicates that INTF experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
6.29%
INTF
XLK