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

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.


-0.50.00.51.00.9

Performance

IQLT vs. QEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Quality Factor ETF (IQLT) and SPDR MSCI EAFE StrategicFactors ETF (QEFA). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
-4.04%
-1.82%
IQLT
QEFA

Key characteristics

Sharpe Ratio

IQLT:

0.26

QEFA:

0.42

Sortino Ratio

IQLT:

0.45

QEFA:

0.65

Omega Ratio

IQLT:

1.05

QEFA:

1.08

Calmar Ratio

IQLT:

0.34

QEFA:

0.52

Martin Ratio

IQLT:

0.93

QEFA:

1.55

Ulcer Index

IQLT:

3.68%

QEFA:

3.19%

Daily Std Dev

IQLT:

13.23%

QEFA:

11.85%

Max Drawdown

IQLT:

-32.21%

QEFA:

-31.71%

Current Drawdown

IQLT:

-9.93%

QEFA:

-9.53%

Returns By Period

In the year-to-date period, IQLT achieves a 1.87% return, which is significantly lower than QEFA's 2.46% return.


IQLT

YTD

1.87%

1M

-0.93%

6M

-4.04%

1Y

4.57%

5Y*

5.64%

10Y*

N/A

QEFA

YTD

2.46%

1M

-1.55%

6M

-1.82%

1Y

4.15%

5Y*

4.58%

10Y*

6.20%

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. QEFA - Expense Ratio Comparison

Both IQLT and QEFA 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 QEFA: 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. 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.


Sharpe ratio
The chart of Sharpe ratio for IQLT, currently valued at 0.26, compared to the broader market0.002.004.000.260.35
The chart of Sortino ratio for IQLT, currently valued at 0.45, compared to the broader market-2.000.002.004.006.008.0010.000.450.56
The chart of Omega ratio for IQLT, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.07
The chart of Calmar ratio for IQLT, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.340.44
The chart of Martin ratio for IQLT, currently valued at 0.93, compared to the broader market0.0020.0040.0060.0080.00100.000.931.28
IQLT
QEFA

The current IQLT Sharpe Ratio is 0.26, which is lower than the QEFA Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of IQLT and QEFA, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.26
0.35
IQLT
QEFA

Dividends

IQLT vs. QEFA - Dividend Comparison

IQLT's dividend yield for the trailing twelve months is around 2.86%, less than QEFA's 3.16% yield.


TTM2023202220212020201920182017201620152014
IQLT
iShares MSCI Intl Quality Factor ETF
2.86%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
3.16%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.93%
-9.53%
IQLT
QEFA

Volatility

IQLT vs. QEFA - Volatility Comparison

iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 3.74% compared to SPDR MSCI EAFE StrategicFactors ETF (QEFA) at 3.49%. This indicates that IQLT's price experiences larger fluctuations and is considered to be riskier than QEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.74%
3.49%
IQLT
QEFA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab