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IVLU vs. FIVA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IVLU vs. FIVA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Value Factor ETF (IVLU) and Fidelity International Value Factor ETF (FIVA). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-1.80%
-2.99%
IVLU
FIVA

Returns By Period

In the year-to-date period, IVLU achieves a 6.79% return, which is significantly higher than FIVA's 4.68% return.


IVLU

YTD

6.79%

1M

-3.44%

6M

-1.80%

1Y

12.68%

5Y (annualized)

6.52%

10Y (annualized)

N/A

FIVA

YTD

4.68%

1M

-3.54%

6M

-2.99%

1Y

10.29%

5Y (annualized)

5.82%

10Y (annualized)

N/A

Key characteristics


IVLUFIVA
Sharpe Ratio0.940.78
Sortino Ratio1.321.11
Omega Ratio1.161.14
Calmar Ratio1.501.30
Martin Ratio4.543.85
Ulcer Index2.65%2.58%
Daily Std Dev12.79%12.79%
Max Drawdown-41.86%-39.76%
Current Drawdown-7.33%-7.46%

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IVLU vs. FIVA - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is lower than FIVA's 0.39% expense ratio.


FIVA
Fidelity International Value Factor ETF
Expense ratio chart for FIVA: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for IVLU: 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%

Correlation

-0.50.00.51.00.9

The correlation between IVLU and FIVA is 0.92, 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.

Risk-Adjusted Performance

IVLU vs. FIVA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Fidelity International Value Factor ETF (FIVA). 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 IVLU, currently valued at 0.94, compared to the broader market0.002.004.000.940.78
The chart of Sortino ratio for IVLU, currently valued at 1.32, compared to the broader market-2.000.002.004.006.008.0010.0012.001.321.11
The chart of Omega ratio for IVLU, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.14
The chart of Calmar ratio for IVLU, currently valued at 1.50, compared to the broader market0.005.0010.0015.001.501.30
The chart of Martin ratio for IVLU, currently valued at 4.54, compared to the broader market0.0020.0040.0060.0080.00100.004.543.85
IVLU
FIVA

The current IVLU Sharpe Ratio is 0.94, which is comparable to the FIVA Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of IVLU and FIVA, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.94
0.78
IVLU
FIVA

Dividends

IVLU vs. FIVA - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.56%, more than FIVA's 3.62% yield.


TTM202320222021202020192018201720162015
IVLU
iShares MSCI Intl Value Factor ETF
4.56%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%
FIVA
Fidelity International Value Factor ETF
3.62%3.63%3.62%3.76%2.46%3.61%3.28%0.00%0.00%0.00%

Drawdowns

IVLU vs. FIVA - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.86%, which is greater than FIVA's maximum drawdown of -39.76%. Use the drawdown chart below to compare losses from any high point for IVLU and FIVA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-7.46%
IVLU
FIVA

Volatility

IVLU vs. FIVA - Volatility Comparison

iShares MSCI Intl Value Factor ETF (IVLU) and Fidelity International Value Factor ETF (FIVA) have volatilities of 3.86% and 3.88%, 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.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.86%
3.88%
IVLU
FIVA