PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IQLT vs. BKIE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IQLTBKIE
YTD Return5.37%7.90%
1Y Return17.60%19.70%
3Y Return (Ann)1.52%2.76%
Sharpe Ratio1.341.53
Sortino Ratio1.962.17
Omega Ratio1.231.27
Calmar Ratio1.492.06
Martin Ratio6.738.68
Ulcer Index2.62%2.26%
Daily Std Dev13.14%12.88%
Max Drawdown-32.21%-28.19%
Current Drawdown-6.84%-5.38%

Correlation

-0.50.00.51.01.0

The correlation between IQLT and BKIE is 0.97, 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

IQLT vs. BKIE - Performance Comparison

In the year-to-date period, IQLT achieves a 5.37% return, which is significantly lower than BKIE's 7.90% return. 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%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.14%
1.93%
IQLT
BKIE

Compare stocks, funds, or ETFs

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


IQLT vs. BKIE - Expense Ratio Comparison

IQLT has a 0.30% expense ratio, which is higher than BKIE's 0.04% expense ratio.


IQLT
iShares MSCI Intl Quality Factor ETF
Expense ratio chart for IQLT: 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 BKIE: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

IQLT vs. BKIE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Quality Factor ETF (IQLT) and BNY Mellon International Equity ETF (BKIE). 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.


IQLT
Sharpe ratio
The chart of Sharpe ratio for IQLT, currently valued at 1.34, compared to the broader market-2.000.002.004.001.34
Sortino ratio
The chart of Sortino ratio for IQLT, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.0012.001.96
Omega ratio
The chart of Omega ratio for IQLT, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for IQLT, currently valued at 1.49, compared to the broader market0.005.0010.0015.001.49
Martin ratio
The chart of Martin ratio for IQLT, currently valued at 6.73, compared to the broader market0.0020.0040.0060.0080.00100.006.73
BKIE
Sharpe ratio
The chart of Sharpe ratio for BKIE, currently valued at 1.53, compared to the broader market-2.000.002.004.001.53
Sortino ratio
The chart of Sortino ratio for BKIE, currently valued at 2.17, compared to the broader market-2.000.002.004.006.008.0010.0012.002.17
Omega ratio
The chart of Omega ratio for BKIE, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for BKIE, currently valued at 2.06, compared to the broader market0.005.0010.0015.002.06
Martin ratio
The chart of Martin ratio for BKIE, currently valued at 8.68, compared to the broader market0.0020.0040.0060.0080.00100.008.68

IQLT vs. BKIE - Sharpe Ratio Comparison

The current IQLT Sharpe Ratio is 1.34, which is comparable to the BKIE Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of IQLT and BKIE, 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
1.34
1.53
IQLT
BKIE

Dividends

IQLT vs. BKIE - Dividend Comparison

IQLT's dividend yield for the trailing twelve months is around 2.56%, less than BKIE's 2.83% yield.


TTM202320222021202020192018201720162015
IQLT
iShares MSCI Intl Quality Factor ETF
2.56%2.27%3.14%2.24%1.60%2.28%2.72%2.36%2.91%2.78%
BKIE
BNY Mellon International Equity ETF
2.83%2.88%2.97%2.58%1.49%0.00%0.00%0.00%0.00%0.00%

Drawdowns

IQLT vs. BKIE - Drawdown Comparison

The maximum IQLT drawdown since its inception was -32.21%, which is greater than BKIE's maximum drawdown of -28.19%. Use the drawdown chart below to compare losses from any high point for IQLT and BKIE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.84%
-5.38%
IQLT
BKIE

Volatility

IQLT vs. BKIE - Volatility Comparison

iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 4.08% compared to BNY Mellon International Equity ETF (BKIE) at 3.65%. This indicates that IQLT's price experiences larger fluctuations and is considered to be riskier than BKIE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.08%
3.65%
IQLT
BKIE