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IQLT vs. DIHRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IQLTDIHRX
YTD Return3.07%1.21%
1Y Return11.39%8.68%
3Y Return (Ann)0.85%-0.43%
5Y Return (Ann)6.56%5.71%
Sharpe Ratio1.070.86
Sortino Ratio1.581.30
Omega Ratio1.191.15
Calmar Ratio1.561.09
Martin Ratio5.124.16
Ulcer Index2.77%2.71%
Daily Std Dev13.28%13.14%
Max Drawdown-32.21%-33.30%
Current Drawdown-8.87%-8.79%

Correlation

-0.50.00.51.01.0

The correlation between IQLT and DIHRX is 0.95, 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. DIHRX - Performance Comparison

In the year-to-date period, IQLT achieves a 3.07% return, which is significantly higher than DIHRX's 1.21% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-3.60%
-4.24%
IQLT
DIHRX

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IQLT vs. DIHRX - Expense Ratio Comparison

Both IQLT and DIHRX have an expense ratio of 0.30%.


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 DIHRX: 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

IQLT vs. DIHRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Quality Factor ETF (IQLT) and DFA International High Relative Profitability Portfolio (DIHRX). 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 1.07, compared to the broader market-2.000.002.004.006.001.07
Sortino ratio
The chart of Sortino ratio for IQLT, currently valued at 1.58, compared to the broader market-2.000.002.004.006.008.0010.0012.001.58
Omega ratio
The chart of Omega ratio for IQLT, currently valued at 1.19, compared to the broader market1.001.502.002.503.001.19
Calmar ratio
The chart of Calmar ratio for IQLT, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.56
Martin ratio
The chart of Martin ratio for IQLT, currently valued at 5.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.12
DIHRX
Sharpe ratio
The chart of Sharpe ratio for DIHRX, currently valued at 0.86, compared to the broader market-2.000.002.004.006.000.86
Sortino ratio
The chart of Sortino ratio for DIHRX, currently valued at 1.30, compared to the broader market-2.000.002.004.006.008.0010.0012.001.30
Omega ratio
The chart of Omega ratio for DIHRX, currently valued at 1.15, compared to the broader market1.001.502.002.503.001.15
Calmar ratio
The chart of Calmar ratio for DIHRX, currently valued at 1.09, compared to the broader market0.005.0010.0015.001.09
Martin ratio
The chart of Martin ratio for DIHRX, currently valued at 4.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.16

IQLT vs. DIHRX - Sharpe Ratio Comparison

The current IQLT Sharpe Ratio is 1.07, which is comparable to the DIHRX Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of IQLT and DIHRX, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.07
0.86
IQLT
DIHRX

Dividends

IQLT vs. DIHRX - Dividend Comparison

IQLT's dividend yield for the trailing twelve months is around 2.61%, more than DIHRX's 2.47% yield.


TTM202320222021202020192018201720162015
IQLT
iShares MSCI Intl Quality Factor ETF
2.61%2.27%3.14%2.24%1.60%2.28%2.72%2.36%2.91%2.78%
DIHRX
DFA International High Relative Profitability Portfolio
2.47%2.59%3.06%2.32%1.39%2.11%2.36%0.86%0.00%0.00%

Drawdowns

IQLT vs. DIHRX - Drawdown Comparison

The maximum IQLT drawdown since its inception was -32.21%, roughly equal to the maximum DIHRX drawdown of -33.30%. Use the drawdown chart below to compare losses from any high point for IQLT and DIHRX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.87%
-8.79%
IQLT
DIHRX

Volatility

IQLT vs. DIHRX - Volatility Comparison

iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 3.91% compared to DFA International High Relative Profitability Portfolio (DIHRX) at 3.59%. This indicates that IQLT's price experiences larger fluctuations and is considered to be riskier than DIHRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctoberNovember
3.91%
3.59%
IQLT
DIHRX