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IQDF vs. FDD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IQDF and FDD is 0.66, 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

IQDF vs. FDD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares International Quality Dividend Index Fund (IQDF) and First Trust STOXX European Select Dividend Index Fund (FDD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

IQDF:

0.71

FDD:

1.45

Sortino Ratio

IQDF:

1.15

FDD:

2.01

Omega Ratio

IQDF:

1.15

FDD:

1.29

Calmar Ratio

IQDF:

0.92

FDD:

1.38

Martin Ratio

IQDF:

2.81

FDD:

6.38

Ulcer Index

IQDF:

4.55%

FDD:

4.34%

Daily Std Dev

IQDF:

17.07%

FDD:

18.82%

Max Drawdown

IQDF:

-39.83%

FDD:

-74.76%

Current Drawdown

IQDF:

-0.50%

FDD:

0.00%

Returns By Period

In the year-to-date period, IQDF achieves a 11.83% return, which is significantly lower than FDD's 30.54% return. Over the past 10 years, IQDF has underperformed FDD with an annualized return of 4.60%, while FDD has yielded a comparatively higher 5.79% annualized return.


IQDF

YTD

11.83%

1M

11.29%

6M

7.67%

1Y

11.24%

5Y*

12.20%

10Y*

4.60%

FDD

YTD

30.54%

1M

14.40%

6M

29.07%

1Y

26.77%

5Y*

15.91%

10Y*

5.79%

*Annualized

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IQDF vs. FDD - Expense Ratio Comparison

IQDF has a 0.47% expense ratio, which is lower than FDD's 0.58% expense ratio.


Risk-Adjusted Performance

IQDF vs. FDD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IQDF
The Risk-Adjusted Performance Rank of IQDF is 7575
Overall Rank
The Sharpe Ratio Rank of IQDF is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of IQDF is 7474
Sortino Ratio Rank
The Omega Ratio Rank of IQDF is 7272
Omega Ratio Rank
The Calmar Ratio Rank of IQDF is 8181
Calmar Ratio Rank
The Martin Ratio Rank of IQDF is 7373
Martin Ratio Rank

FDD
The Risk-Adjusted Performance Rank of FDD is 9090
Overall Rank
The Sharpe Ratio Rank of FDD is 9191
Sharpe Ratio Rank
The Sortino Ratio Rank of FDD is 9090
Sortino Ratio Rank
The Omega Ratio Rank of FDD is 9090
Omega Ratio Rank
The Calmar Ratio Rank of FDD is 8989
Calmar Ratio Rank
The Martin Ratio Rank of FDD is 8989
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

IQDF vs. FDD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares International Quality Dividend Index Fund (IQDF) and First Trust STOXX European Select Dividend Index Fund (FDD). 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.


The current IQDF Sharpe Ratio is 0.71, which is lower than the FDD Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of IQDF and FDD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

IQDF vs. FDD - Dividend Comparison

IQDF's dividend yield for the trailing twelve months is around 6.37%, more than FDD's 6.07% yield.


TTM20242023202220212020201920182017201620152014
IQDF
FlexShares International Quality Dividend Index Fund
6.37%6.72%6.06%5.59%4.13%3.16%4.46%5.77%3.89%3.75%4.27%4.36%
FDD
First Trust STOXX European Select Dividend Index Fund
6.07%7.65%6.85%6.07%3.44%4.00%4.70%5.05%2.77%4.88%4.36%4.31%

Drawdowns

IQDF vs. FDD - Drawdown Comparison

The maximum IQDF drawdown since its inception was -39.83%, smaller than the maximum FDD drawdown of -74.76%. Use the drawdown chart below to compare losses from any high point for IQDF and FDD. For additional features, visit the drawdowns tool.


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Volatility

IQDF vs. FDD - Volatility Comparison

The current volatility for FlexShares International Quality Dividend Index Fund (IQDF) is 4.66%, while First Trust STOXX European Select Dividend Index Fund (FDD) has a volatility of 5.08%. This indicates that IQDF experiences smaller price fluctuations and is considered to be less risky than FDD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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