IVLU vs. FJP

Last updated Jun 13, 2026

IVLU (iShares MSCI International Value Factor ETF) and FJP (First Trust Japan AlphaDEX Fund) are both exchange-traded funds - IVLU is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value Index, while FJP is a Japan Equities fund tracking the NASDAQ AlphaDEX Japan Index. Both are passively managed. Over the past 10 years, IVLU returned 11.63%/yr vs 7.61%/yr for FJP. A 0.70 correlation means they provide meaningful diversification when combined. IVLU charges 0.30%/yr vs 0.80%/yr for FJP.

Performance

IVLU vs. FJP - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with IVLU having a 12.96% return and FJP slightly lower at 12.56%. Over the past 10 years, IVLU has outperformed FJP with an annualized return of 11.63%, while FJP has yielded a comparatively lower 7.61% annualized return.

IVLU

• 1D: 0.56%
• 1M: 0.66%
• YTD: 12.96%
• 6M: 14.33%
• 1Y: 35.32%
• 3Y*: 23.53%
• 5Y*: 14.06%
• 10Y*: 11.63%

FJP

• 1D: 1.05%
• 1M: -5.42%
• YTD: 12.56%
• 6M: 11.54%
• 1Y: 31.75%
• 3Y*: 19.57%
• 5Y*: 10.59%
• 10Y*: 7.61%

*Multi-year figures are annualized to reflect compound growth (CAGR)

IVLU vs. FJP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
IVLU iShares MSCI International Value Factor ETF	12.96%	46.09%	6.76%	20.07%	-5.73%	15.60%	-4.50%	15.60%	-15.10%	23.10%
FJP First Trust Japan AlphaDEX Fund	12.56%	33.60%	5.80%	23.00%	-12.83%	-1.13%	3.60%	7.72%	-18.60%	27.63%

Correlation

The correlation between IVLU and FJP is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jul 15, 2015	0.70

The correlation between IVLU and FJP has been stable across timeframes, ranging from 0.69 to 0.75 - a consistent structural relationship.

IVLU vs. FJP - Sectors Allocation Comparison

Sectors	IVLU	FJP
Financial Services	25.3%	5.6%
Industrials	17.2%	45.0%
Technology	11.3%	8.9%
Healthcare	9.7%	3.6%
Basic Materials	7.5%	9.7%
Consumer Cyclical	7.4%	12.0%
Consumer Defensive	6.3%	0.8%
Energy	5.1%	4.2%
Communication Services	4.0%	0.7%
Utilities	3.3%	6.1%
Real Estate	1.5%	3.5%

Return for Risk

IVLU vs. FJP — Risk / Return Rank

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

IVLU

IVLU Risk / Return Rank: 73
IVLU Sharpe Ratio Rank: 78
IVLU Sortino Ratio Rank: 77
IVLU Omega Ratio Rank: 76
IVLU Calmar Ratio Rank: 67
IVLU Martin Ratio Rank: 69

FJP

FJP Risk / Return Rank: 49
FJP Sharpe Ratio Rank: 50
FJP Sortino Ratio Rank: 49
FJP Omega Ratio Rank: 49
FJP Calmar Ratio Rank: 51
FJP Martin Ratio Rank: 45

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

IVLU vs. FJP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI International Value Factor ETF (IVLU) and First Trust Japan AlphaDEX Fund (FJP). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	IVLU	FJP	Difference
Sharpe ratio: Return per unit of total volatility	2.17	1.53	+0.64
Sortino ratio: Return per unit of downside risk	2.98	2.14	+0.84
Omega ratio: Gain probability vs. loss probability	1.39	1.27	+0.11
Calmar ratio: Return relative to maximum drawdown	2.90	2.22	+0.68
Martin ratio: Return relative to average drawdown	11.01	6.55	+4.45

IVLU vs. FJP - Sharpe Ratio Comparison

The current IVLU Sharpe Ratio is 2.17, which is higher than the FJP Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of IVLU and FJP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

IVLU vs. FJP - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.85%, roughly equal to the maximum FJP drawdown of -41.51%. Use the drawdown chart below to compare losses from any high point for IVLU and FJP.

Drawdown Indicators

	IVLU	FJP	Difference
Max Drawdown Largest peak-to-trough decline	-41.85%	-41.51%	-0.34%
Max Drawdown (1Y) Largest decline over 1 year	-11.69%	-14.43%	+2.74%
Max Drawdown (3Y) Largest decline over 3 years	-15.48%	-17.02%	+1.54%
Max Drawdown (5Y) Largest decline over 5 years	-26.04%	-31.88%	+5.84%
Max Drawdown (10Y) Largest decline over 10 years	-41.85%	-41.51%	-0.34%
Current Drawdown Current decline from peak	-0.53%	-7.75%	+7.22%
Average Drawdown Average peak-to-trough decline	-8.57%	-11.45%	+2.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.09%	4.89%	-1.80%

Volatility

IVLU vs. FJP - Volatility Comparison

The current volatility for iShares MSCI International Value Factor ETF (IVLU) is 5.44%, while First Trust Japan AlphaDEX Fund (FJP) has a volatility of 7.16%. This indicates that IVLU experiences smaller price fluctuations and is considered to be less risky than FJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IVLU	FJP	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.44%	7.16%	-1.72%
Volatility (6M) Calculated over the trailing 6-month period	12.85%	17.43%	-4.58%
Volatility (1Y) Calculated over the trailing 1-year period	15.65%	21.00%	-5.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.58%	20.43%	-3.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.66%	18.91%	-1.25%

IVLU vs. FJP - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is lower than FJP's 0.80% expense ratio.

Dividends

IVLU vs. FJP - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 3.28%, more than FJP's 2.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FJP First Trust Japan AlphaDEX Fund	2.53%	2.68%	3.18%	3.49%	2.21%	2.43%	0.99%	2.80%	1.54%	1.29%	1.46%	0.85%
IVLU iShares MSCI International Value Factor ETF	3.28%	3.71%	4.46%	4.69%	3.59%	3.47%	2.05%	3.53%	2.82%	2.87%	2.53%	0.93%

Frequently Asked Questions

Can I hold both IVLU and FJP in my portfolio?

IVLU and FJP have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IVLU or FJP?

FJP has higher volatility (7.16%) compared to IVLU (5.44%). In terms of maximum drawdown, IVLU dropped -41.85% vs FJP's -41.51%.

Which ETF is better, IVLU or FJP?

On 10-year performance, IVLU leads with 11.63% vs 7.61% for FJP. On fees, IVLU is cheaper at 0.30% per year. On volatility, IVLU has been the lower-risk option at 5.44%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IVLU or FJP?

Over the 10-year period, IVLU has performed better with a 11.63% return vs 7.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IVLU or FJP?

IVLU is cheaper with a 0.30% expense ratio, compared with 0.80% for FJP.

Which ETF pays a higher dividend yield, IVLU or FJP?

IVLU has the higher dividend yield at 3.28%, compared with 2.53% for FJP.

What is the main difference between IVLU and FJP?

IVLU is categorized as Foreign Large Cap Equities, while FJP is Japan Equities. IVLU tracks MSCI World ex USA Enhanced Value Index, while FJP tracks NASDAQ AlphaDEX Japan Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.30% for IVLU and 0.80% for FJP.

Which has better risk-adjusted returns?

IVLU currently has the higher Sharpe Ratio (2.17 vs 1.53), 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.