IQLT vs. DIHRX
Compare and contrast key facts about iShares MSCI Intl Quality Factor ETF (IQLT) and DFA International High Relative Profitability Portfolio (DIHRX).
IQLT is a passively managed fund by iShares that tracks the performance of the World ex USA Sector Neutral Quality. It was launched on Jan 13, 2015. DIHRX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IQLT or DIHRX.
Performance
IQLT vs. DIHRX - Performance Comparison
Returns By Period
In the year-to-date period, IQLT achieves a 2.45% return, which is significantly higher than DIHRX's 0.73% return.
IQLT
2.45%
-5.65%
-3.42%
9.26%
6.55%
N/A
DIHRX
0.73%
-4.98%
-3.47%
7.09%
5.78%
N/A
Key characteristics
| IQLT | DIHRX | |
|---|---|---|
| Sharpe Ratio | 0.69 | 0.52 |
| Sortino Ratio | 1.05 | 0.82 |
| Omega Ratio | 1.12 | 1.10 |
| Calmar Ratio | 0.95 | 0.71 |
| Martin Ratio | 2.94 | 2.25 |
| Ulcer Index | 3.05% | 3.00% |
| Daily Std Dev | 13.03% | 12.91% |
| Max Drawdown | -32.21% | -33.30% |
| Current Drawdown | -9.42% | -9.22% |
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IQLT vs. DIHRX - Expense Ratio Comparison
Both IQLT and DIHRX have an expense ratio of 0.30%.
Correlation
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.
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.
Dividends
IQLT vs. DIHRX - Dividend Comparison
IQLT's dividend yield for the trailing twelve months is around 2.63%, more than DIHRX's 2.48% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
IQLT iShares MSCI Intl Quality Factor ETF | 2.63% | 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 | 2.48% | 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.
Volatility
IQLT vs. DIHRX - Volatility Comparison
iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 3.85% 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.