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

Correlation

The correlation between IQLT and VOO is 0.72, 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.


-0.50.00.51.00.7

Performance

IQLT vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Quality Factor ETF (IQLT) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
84.77%
255.73%
IQLT
VOO

Key characteristics

Sharpe Ratio

IQLT:

0.31

VOO:

2.25

Sortino Ratio

IQLT:

0.52

VOO:

2.98

Omega Ratio

IQLT:

1.06

VOO:

1.42

Calmar Ratio

IQLT:

0.39

VOO:

3.31

Martin Ratio

IQLT:

1.09

VOO:

14.77

Ulcer Index

IQLT:

3.73%

VOO:

1.90%

Daily Std Dev

IQLT:

13.19%

VOO:

12.46%

Max Drawdown

IQLT:

-32.21%

VOO:

-33.99%

Current Drawdown

IQLT:

-10.37%

VOO:

-2.47%

Returns By Period

In the year-to-date period, IQLT achieves a 1.37% return, which is significantly lower than VOO's 26.02% return.


IQLT

YTD

1.37%

1M

-1.05%

6M

-3.86%

1Y

2.36%

5Y*

5.53%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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. VOO - Expense Ratio Comparison

IQLT has a 0.30% expense ratio, which is higher than VOO's 0.03% expense ratio.


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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

IQLT vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Quality Factor ETF (IQLT) and Vanguard S&P 500 ETF (VOO). 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 0.31, compared to the broader market0.002.004.000.312.25
The chart of Sortino ratio for IQLT, currently valued at 0.52, compared to the broader market-2.000.002.004.006.008.0010.000.522.98
The chart of Omega ratio for IQLT, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.42
The chart of Calmar ratio for IQLT, currently valued at 0.39, compared to the broader market0.005.0010.0015.000.393.31
The chart of Martin ratio for IQLT, currently valued at 1.09, compared to the broader market0.0020.0040.0060.0080.00100.001.0914.77
IQLT
VOO

The current IQLT Sharpe Ratio is 0.31, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of IQLT and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.31
2.25
IQLT
VOO

Dividends

IQLT vs. VOO - Dividend Comparison

IQLT's dividend yield for the trailing twelve months is around 2.87%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
IQLT
iShares MSCI Intl Quality Factor ETF
2.87%2.27%3.14%2.24%1.60%2.28%2.72%2.36%2.91%2.78%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

IQLT vs. VOO - Drawdown Comparison

The maximum IQLT drawdown since its inception was -32.21%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for IQLT and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.37%
-2.47%
IQLT
VOO

Volatility

IQLT vs. VOO - Volatility Comparison

iShares MSCI Intl Quality Factor ETF (IQLT) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.76% and 3.75%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.76%
3.75%
IQLT
VOO
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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.

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