IQLT vs. QEFA
Compare and contrast key facts about iShares MSCI Intl Quality Factor ETF (IQLT) and SPDR MSCI EAFE StrategicFactors ETF (QEFA).
IQLT and QEFA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. QEFA is a passively managed fund by State Street that tracks the performance of the MSCI EAFE Factor Mix A-Series (USD). It was launched on Jun 4, 2014. Both IQLT and QEFA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IQLT or QEFA.
Key characteristics
| IQLT | QEFA | |
|---|---|---|
| YTD Return | 3.42% | 4.39% |
| 1Y Return | 14.58% | 14.32% |
| 3Y Return (Ann) | 0.97% | 1.48% |
| 5Y Return (Ann) | 6.74% | 5.53% |
| Sharpe Ratio | 1.12 | 1.24 |
| Sortino Ratio | 1.65 | 1.77 |
| Omega Ratio | 1.19 | 1.22 |
| Calmar Ratio | 1.33 | 1.50 |
| Martin Ratio | 5.47 | 6.59 |
| Ulcer Index | 2.71% | 2.23% |
| Daily Std Dev | 13.28% | 11.88% |
| Max Drawdown | -32.21% | -31.71% |
| Current Drawdown | -8.56% | -7.83% |
Correlation
The correlation between IQLT and QEFA is 0.85, 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. QEFA - Performance Comparison
In the year-to-date period, IQLT achieves a 3.42% return, which is significantly lower than QEFA's 4.39% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IQLT vs. QEFA - Expense Ratio Comparison
Both IQLT and QEFA have an expense ratio of 0.30%.
Risk-Adjusted Performance
IQLT vs. QEFA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Quality Factor ETF (IQLT) and SPDR MSCI EAFE StrategicFactors ETF (QEFA). 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. QEFA - Dividend Comparison
IQLT's dividend yield for the trailing twelve months is around 2.60%, less than QEFA's 2.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
IQLT iShares MSCI Intl Quality Factor ETF | 2.60% | 2.27% | 3.14% | 2.24% | 1.60% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% | 0.00% |
QEFA SPDR MSCI EAFE StrategicFactors ETF | 2.90% | 2.79% | 3.02% | 2.37% | 1.82% | 2.95% | 3.22% | 2.34% | 2.01% | 2.94% | 1.14% |
Drawdowns
IQLT vs. QEFA - Drawdown Comparison
The maximum IQLT drawdown since its inception was -32.21%, roughly equal to the maximum QEFA drawdown of -31.71%. Use the drawdown chart below to compare losses from any high point for IQLT and QEFA. For additional features, visit the drawdowns tool.
Volatility
IQLT vs. QEFA - Volatility Comparison
iShares MSCI Intl Quality Factor ETF (IQLT) and SPDR MSCI EAFE StrategicFactors ETF (QEFA) have volatilities of 4.27% and 4.13%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.