IVLU vs. ETH-USD
IVLU (iShares MSCI Intl Value Factor ETF) is Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, IVLU returned 11.09%/yr vs 61.34%/yr for ETH-USD. At a 0.14 correlation, their price movements are largely independent.
Performance
IVLU vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, IVLU achieves a 10.99% return, which is significantly higher than ETH-USD's -43.98% return. Over the past 10 years, IVLU has underperformed ETH-USD with an annualized return of 11.09%, while ETH-USD has yielded a comparatively higher 61.34% annualized return.
IVLU
- 1D
- 0.45%
- 1M
- 0.05%
- YTD
- 10.99%
- 6M
- 14.55%
- 1Y
- 32.63%
- 3Y*
- 23.34%
- 5Y*
- 13.74%
- 10Y*
- 11.09%
ETH-USD
- 1D
- -1.64%
- 1M
- -28.55%
- YTD
- -43.98%
- 6M
- -46.81%
- 1Y
- -33.81%
- 3Y*
- -3.34%
- 5Y*
- -8.64%
- 10Y*
- 61.34%
IVLU vs. ETH-USD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IVLU iShares MSCI Intl Value Factor ETF | 10.99% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
ETH-USD Ethereum | -43.98% | -10.91% | 46.00% | 90.84% | -67.48% | 398.30% | 473.88% | -1.52% | -82.39% | 8,984.19% |
Correlation
The correlation between IVLU and ETH-USD is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Aug 8, 2015 | 0.14 |
The correlation between IVLU and ETH-USD shifts across timeframes, from 0.14 (all time) to 0.27 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IVLU vs. ETH-USD — Risk / Return Rank
IVLU
ETH-USD
IVLU vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Ethereum (ETH-USD). 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.
| IVLU | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.64 | ||
| Sortino ratioReturn per unit of downside risk | +3.31 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 0.96 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 2.80 | -0.50 | +3.30 |
| Martin ratioReturn relative to average drawdown | 10.66 | -0.88 | +11.53 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| IVLU | ETH-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.14 | -0.50 | +2.64 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.84 | -0.12 | +0.96 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | 0.65 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.75 | -0.28 |
Drawdowns
IVLU vs. ETH-USD - Drawdown Comparison
The maximum IVLU drawdown since its inception was -41.85%, smaller than the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for IVLU and ETH-USD.
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Drawdown Indicators
| IVLU | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.85% | -94.01% | +52.16% |
Max Drawdown (1Y)Largest decline over 1 year | -11.69% | -67.53% | +55.84% |
Max Drawdown (3Y)Largest decline over 3 years | -15.48% | -67.53% | +52.05% |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | -79.35% | +53.31% |
Max Drawdown (10Y)Largest decline over 10 years | -41.85% | -94.01% | +52.16% |
Current DrawdownCurrent decline from peak | -2.27% | -65.60% | +63.33% |
Average DrawdownAverage peak-to-trough decline | -8.59% | -50.89% | +42.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.07% | 44.58% | -41.51% |
Volatility
IVLU vs. ETH-USD - Volatility Comparison
The current volatility for iShares MSCI Intl Value Factor ETF (IVLU) is 4.47%, while Ethereum (ETH-USD) has a volatility of 16.88%. This indicates that IVLU experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IVLU | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.47% | 16.88% | -12.41% |
Volatility (6M)Calculated over the trailing 6-month period | 12.48% | 46.80% | -34.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.33% | 56.55% | -41.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.52% | 59.65% | -43.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.67% | 78.04% | -60.37% |
Frequently Asked Questions
IVLU and ETH-USD have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (16.88%) compared to IVLU (4.47%). In terms of maximum drawdown, IVLU dropped -41.85% vs ETH-USD's -94.01%.
IVLU currently has the higher Sharpe Ratio (2.14 vs -0.50), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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