PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IVLU vs. FLQH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IVLU vs. FLQH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Value Factor ETF (IVLU) and Franklin LibertyQ International Equity Hedged ETF (FLQH). 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
-2.13%
0
IVLU
FLQH

Returns By Period


IVLU

YTD

6.87%

1M

-2.10%

6M

-2.14%

1Y

12.56%

5Y (annualized)

6.52%

10Y (annualized)

N/A

FLQH

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


IVLUFLQH

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IVLU vs. FLQH - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is lower than FLQH's 0.40% expense ratio.


FLQH
Franklin LibertyQ International Equity Hedged ETF
Expense ratio chart for FLQH: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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

-0.50.00.51.00.7

The correlation between IVLU and FLQH is 0.71, 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. FLQH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Franklin LibertyQ International Equity Hedged ETF (FLQH). 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 0.98, compared to the broader market0.002.004.000.981.20
The chart of Sortino ratio for IVLU, currently valued at 1.37, compared to the broader market-2.000.002.004.006.008.0010.0012.001.371.85
The chart of Omega ratio for IVLU, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.58
The chart of Calmar ratio for IVLU, currently valued at 1.56, compared to the broader market0.005.0010.0015.0020.001.561.85
The chart of Martin ratio for IVLU, currently valued at 4.60, compared to the broader market0.0020.0040.0060.0080.00100.004.6013.20
IVLU
FLQH

Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.98
1.20
IVLU
FLQH

Dividends

IVLU vs. FLQH - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.56%, while FLQH has not paid dividends to shareholders.


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%
FLQH
Franklin LibertyQ International Equity Hedged ETF
3.83%3.17%0.87%2.77%6.23%1.61%5.67%4.02%11.56%0.00%

Drawdowns

IVLU vs. FLQH - Drawdown Comparison


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.27%
0
IVLU
FLQH

Volatility

IVLU vs. FLQH - Volatility Comparison

iShares MSCI Intl Value Factor ETF (IVLU) has a higher volatility of 3.71% compared to Franklin LibertyQ International Equity Hedged ETF (FLQH) at 0.00%. This indicates that IVLU's price experiences larger fluctuations and is considered to be riskier than FLQH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
0
IVLU
FLQH