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

Performance

IVLU vs. SCHB - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.14%
15.56%
IVLU
SCHB

Returns By Period

In the year-to-date period, IVLU achieves a 6.87% return, which is significantly lower than SCHB's 28.80% return.


IVLU

YTD

6.87%

1M

-2.10%

6M

-2.14%

1Y

12.56%

5Y (annualized)

6.52%

10Y (annualized)

N/A

SCHB

YTD

28.80%

1M

4.03%

6M

15.56%

1Y

37.53%

5Y (annualized)

17.76%

10Y (annualized)

15.05%

Key characteristics


IVLUSCHB
Sharpe Ratio0.982.99
Sortino Ratio1.373.94
Omega Ratio1.171.55
Calmar Ratio1.564.40
Martin Ratio4.6019.21
Ulcer Index2.73%1.95%
Daily Std Dev12.77%12.54%
Max Drawdown-41.86%-35.27%
Current Drawdown-7.27%-0.34%

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IVLU vs. SCHB - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is higher than SCHB's 0.03% 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 SCHB: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.7

The correlation between IVLU and SCHB is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

IVLU vs. SCHB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Schwab U.S. Broad Market ETF (SCHB). 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 market0.002.004.000.982.99
The chart of Sortino ratio for IVLU, currently valued at 1.37, compared to the broader market-2.000.002.004.006.008.0010.0012.001.373.94
The chart of Omega ratio for IVLU, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.55
The chart of Calmar ratio for IVLU, currently valued at 1.56, compared to the broader market0.005.0010.0015.0020.001.564.40
The chart of Martin ratio for IVLU, currently valued at 4.60, compared to the broader market0.0020.0040.0060.0080.00100.004.6019.21
IVLU
SCHB

The current IVLU Sharpe Ratio is 0.98, which is lower than the SCHB Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of IVLU and SCHB, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
0.98
2.99
IVLU
SCHB

Dividends

IVLU vs. SCHB - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.56%, more than SCHB's 1.18% 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%
SCHB
Schwab U.S. Broad Market ETF
1.18%1.40%1.61%1.21%1.63%1.80%2.13%1.65%1.86%2.00%1.72%1.63%

Drawdowns

IVLU vs. SCHB - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.86%, which is greater than SCHB's maximum drawdown of -35.27%. Use the drawdown chart below to compare losses from any high point for IVLU and SCHB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.27%
-0.34%
IVLU
SCHB

Volatility

IVLU vs. SCHB - Volatility Comparison

The current volatility for iShares MSCI Intl Value Factor ETF (IVLU) is 3.71%, while Schwab U.S. Broad Market ETF (SCHB) has a volatility of 4.21%. This indicates that IVLU experiences smaller price fluctuations and is considered to be less risky than SCHB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
4.21%
IVLU
SCHB