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

Performance

IVLU vs. IEF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Value Factor ETF (IVLU) and iShares 7-10 Year Treasury Bond ETF (IEF). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-1.80%
2.36%
IVLU
IEF

Returns By Period

In the year-to-date period, IVLU achieves a 6.79% return, which is significantly higher than IEF's -0.04% return.


IVLU

YTD

6.79%

1M

-3.44%

6M

-1.80%

1Y

12.68%

5Y (annualized)

6.52%

10Y (annualized)

N/A

IEF

YTD

-0.04%

1M

-1.39%

6M

2.36%

1Y

4.43%

5Y (annualized)

-1.55%

10Y (annualized)

0.81%

Key characteristics


IVLUIEF
Sharpe Ratio0.940.65
Sortino Ratio1.320.97
Omega Ratio1.161.11
Calmar Ratio1.500.22
Martin Ratio4.541.77
Ulcer Index2.65%2.58%
Daily Std Dev12.79%6.99%
Max Drawdown-41.86%-23.93%
Current Drawdown-7.33%-16.90%

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IVLU vs. IEF - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is higher than IEF's 0.15% expense ratio.


IVLU
iShares MSCI Intl Value Factor ETF
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%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.0-0.1

The correlation between IVLU and IEF is -0.14. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

IVLU vs. IEF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and iShares 7-10 Year Treasury Bond ETF (IEF). 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 market0.002.004.000.940.65
The chart of Sortino ratio for IVLU, currently valued at 1.32, compared to the broader market-2.000.002.004.006.008.0010.0012.001.320.97
The chart of Omega ratio for IVLU, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.11
The chart of Calmar ratio for IVLU, currently valued at 1.50, compared to the broader market0.005.0010.0015.001.500.22
The chart of Martin ratio for IVLU, currently valued at 4.54, compared to the broader market0.0020.0040.0060.0080.00100.004.541.77
IVLU
IEF

The current IVLU Sharpe Ratio is 0.94, which is higher than the IEF Sharpe Ratio of 0.65. The chart below compares the historical Sharpe Ratios of IVLU and IEF, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.94
0.65
IVLU
IEF

Dividends

IVLU vs. IEF - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.56%, more than IEF's 3.50% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF
3.50%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%

Drawdowns

IVLU vs. IEF - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.86%, which is greater than IEF's maximum drawdown of -23.93%. Use the drawdown chart below to compare losses from any high point for IVLU and IEF. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-16.90%
IVLU
IEF

Volatility

IVLU vs. IEF - Volatility Comparison

iShares MSCI Intl Value Factor ETF (IVLU) has a higher volatility of 3.86% compared to iShares 7-10 Year Treasury Bond ETF (IEF) at 1.82%. This indicates that IVLU's price experiences larger fluctuations and is considered to be riskier than IEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.86%
1.82%
IVLU
IEF