PortfoliosLab logo
IQLT vs. QEFA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IQLT and QEFA is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.7

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.

70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
104.07%
98.17%
IQLT
QEFA

Key characteristics

Sharpe Ratio

IQLT:

0.55

QEFA:

0.80

Sortino Ratio

IQLT:

0.89

QEFA:

1.23

Omega Ratio

IQLT:

1.12

QEFA:

1.16

Calmar Ratio

IQLT:

0.71

QEFA:

1.02

Martin Ratio

IQLT:

1.89

QEFA:

2.73

Ulcer Index

IQLT:

4.95%

QEFA:

4.58%

Daily Std Dev

IQLT:

17.12%

QEFA:

15.70%

Max Drawdown

IQLT:

-32.21%

QEFA:

-31.71%

Current Drawdown

IQLT:

-1.01%

QEFA:

-0.12%

Returns By Period

In the year-to-date period, IQLT achieves a 10.26% return, which is significantly lower than QEFA's 12.16% return. Over the past 10 years, IQLT has outperformed QEFA with an annualized return of 6.72%, while QEFA has yielded a comparatively lower 6.11% annualized return.


IQLT

YTD

10.26%

1M

1.56%

6M

4.51%

1Y

9.54%

5Y*

11.18%

10Y*

6.72%

QEFA

YTD

12.16%

1M

1.79%

6M

6.85%

1Y

12.48%

5Y*

10.65%

10Y*

6.11%

*Annualized

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%.


Expense ratio chart for IQLT: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IQLT: 0.30%
Expense ratio chart for QEFA: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QEFA: 0.30%

Risk-Adjusted Performance

IQLT vs. QEFA — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IQLT
The Risk-Adjusted Performance Rank of IQLT is 6464
Overall Rank
The Sharpe Ratio Rank of IQLT is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of IQLT is 6363
Sortino Ratio Rank
The Omega Ratio Rank of IQLT is 6060
Omega Ratio Rank
The Calmar Ratio Rank of IQLT is 7575
Calmar Ratio Rank
The Martin Ratio Rank of IQLT is 5959
Martin Ratio Rank

QEFA
The Risk-Adjusted Performance Rank of QEFA is 7575
Overall Rank
The Sharpe Ratio Rank of QEFA is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of QEFA is 7575
Sortino Ratio Rank
The Omega Ratio Rank of QEFA is 7373
Omega Ratio Rank
The Calmar Ratio Rank of QEFA is 8383
Calmar Ratio Rank
The Martin Ratio Rank of QEFA is 7070
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for IQLT, currently valued at 0.55, compared to the broader market-1.000.001.002.003.004.00
IQLT: 0.55
QEFA: 0.80
The chart of Sortino ratio for IQLT, currently valued at 0.89, compared to the broader market-2.000.002.004.006.008.00
IQLT: 0.89
QEFA: 1.23
The chart of Omega ratio for IQLT, currently valued at 1.12, compared to the broader market0.501.001.502.002.50
IQLT: 1.12
QEFA: 1.16
The chart of Calmar ratio for IQLT, currently valued at 0.71, compared to the broader market0.002.004.006.008.0010.0012.00
IQLT: 0.71
QEFA: 1.02
The chart of Martin ratio for IQLT, currently valued at 1.89, compared to the broader market0.0020.0040.0060.00
IQLT: 1.89
QEFA: 2.73

The current IQLT Sharpe Ratio is 0.55, which is lower than the QEFA Sharpe Ratio of 0.80. 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.55
0.80
IQLT
QEFA

Dividends

IQLT vs. QEFA - Dividend Comparison

IQLT's dividend yield for the trailing twelve months is around 2.60%, less than QEFA's 2.82% yield.


TTM20242023202220212020201920182017201620152014
IQLT
iShares MSCI Intl Quality Factor ETF
2.60%2.87%2.27%3.14%2.24%1.61%2.28%2.72%2.36%2.91%2.78%0.00%
QEFA
SPDR MSCI EAFE StrategicFactors ETF
2.82%3.17%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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.01%
-0.12%
IQLT
QEFA

Volatility

IQLT vs. QEFA - Volatility Comparison

iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 11.27% compared to SPDR MSCI EAFE StrategicFactors ETF (QEFA) at 10.09%. 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%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.27%
10.09%
IQLT
QEFA