IVLU vs. VGK

Last updated Jun 9, 2026

IVLU (iShares MSCI Intl Value Factor ETF) and VGK (Vanguard FTSE Europe ETF) are both exchange-traded funds - IVLU is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value, while VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index. Both are passively managed. Over the past 10 years, IVLU returned 11.09%/yr vs 9.63%/yr for VGK. Their correlation of 0.85 suggests significant overlap in exposure. IVLU charges 0.30%/yr vs 0.06%/yr for VGK.

Performance

IVLU vs. VGK - Performance Comparison

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

Returns By Period

In the year-to-date period, IVLU achieves a 10.99% return, which is significantly higher than VGK's 5.17% return. Over the past 10 years, IVLU has outperformed VGK with an annualized return of 11.09%, while VGK has yielded a comparatively lower 9.63% annualized return.

IVLU

• 1D: 0.45%
• 1M: 0.05%
• YTD: 10.99%
• 6M: 14.55%
• 1Y: 32.63%
• 3Y*: 23.34%
• 5Y*: 13.74%
• 10Y*: 11.09%

VGK

• 1D: 0.45%
• 1M: -0.68%
• YTD: 5.17%
• 6M: 8.47%
• 1Y: 16.29%
• 3Y*: 16.24%
• 5Y*: 8.08%
• 10Y*: 9.63%

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

IVLU vs. VGK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
IVLU iShares MSCI Intl Value Factor ETF	10.99%	46.09%	6.76%	20.07%	-5.73%	15.60%	-4.50%	15.60%	-15.10%	23.10%
VGK Vanguard FTSE Europe ETF	5.17%	35.83%	1.88%	20.19%	-15.98%	16.89%	5.43%	24.85%	-14.89%	26.98%

Correlation

The correlation between IVLU and VGK is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jul 16, 2015	0.85

The correlation between IVLU and VGK has been stable across timeframes, ranging from 0.85 to 0.91 - a consistent structural relationship.

IVLU vs. VGK - Sectors Allocation Comparison

Sectors	IVLU	VGK
Financial Services	25.3%	23.6%
Industrials	17.2%	19.3%
Technology	11.3%	8.2%
Healthcare	9.7%	11.9%
Basic Materials	7.5%	5.3%
Consumer Cyclical	7.4%	6.8%
Consumer Defensive	6.3%	8.4%
Energy	5.1%	5.3%
Communication Services	4.0%	3.3%
Utilities	3.3%	4.7%
Real Estate	1.5%	1.5%

Return for Risk

IVLU vs. VGK — Risk / Return Rank

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

IVLU

IVLU Risk / Return Rank: 69
IVLU Sharpe Ratio Rank: 73
IVLU Sortino Ratio Rank: 72
IVLU Omega Ratio Rank: 72
IVLU Calmar Ratio Rank: 62
IVLU Martin Ratio Rank: 64

VGK

VGK Risk / Return Rank: 32
VGK Sharpe Ratio Rank: 32
VGK Sortino Ratio Rank: 32
VGK Omega Ratio Rank: 31
VGK Calmar Ratio Rank: 30
VGK Martin Ratio Rank: 36

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. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Vanguard FTSE Europe ETF (VGK). 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.

	IVLU	VGK	Difference
Sharpe ratio: Return per unit of total volatility	2.14	1.05	+1.09
Sortino ratio: Return per unit of downside risk	2.92	1.55	+1.37
Omega ratio: Gain probability vs. loss probability	1.38	1.19	+0.20
Calmar ratio: Return relative to maximum drawdown	2.80	1.35	+1.45
Martin ratio: Return relative to average drawdown	10.66	5.01	+5.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IVLU vs. VGK - Sharpe Ratio Comparison

The current IVLU Sharpe Ratio is 2.14, which is higher than the VGK Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of IVLU and VGK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	IVLU	VGK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.14	1.05	+1.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.84	0.45	+0.38
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	0.51	+0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.28	+0.19

Drawdowns

IVLU vs. VGK - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.85%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for IVLU and VGK.

Drawdown Indicators

	IVLU	VGK	Difference
Max Drawdown Largest peak-to-trough decline	-41.85%	-63.61%	+21.76%
Max Drawdown (1Y) Largest decline over 1 year	-11.69%	-12.09%	+0.40%
Max Drawdown (3Y) Largest decline over 3 years	-15.48%	-14.31%	-1.17%
Max Drawdown (5Y) Largest decline over 5 years	-26.04%	-32.74%	+6.70%
Max Drawdown (10Y) Largest decline over 10 years	-41.85%	-37.24%	-4.61%
Current Drawdown Current decline from peak	-2.27%	-2.83%	+0.56%
Average Drawdown Average peak-to-trough decline	-8.59%	-13.34%	+4.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.07%	3.26%	-0.19%

Volatility

IVLU vs. VGK - Volatility Comparison

The current volatility for iShares MSCI Intl Value Factor ETF (IVLU) is 4.47%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 4.86%. This indicates that IVLU experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IVLU	VGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.47%	4.86%	-0.39%
Volatility (6M) Calculated over the trailing 6-month period	12.48%	12.97%	-0.49%
Volatility (1Y) Calculated over the trailing 1-year period	15.33%	15.57%	-0.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.52%	17.92%	-1.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.67%	18.97%	-1.30%

IVLU vs. VGK - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is higher than VGK's 0.06% expense ratio.

Dividends

IVLU vs. VGK - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 3.34%, more than VGK's 2.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
IVLU iShares MSCI Intl Value Factor ETF	3.34%	3.71%	4.46%	4.69%	3.59%	3.47%	2.05%	3.53%	2.82%	2.87%	2.53%	0.93%
VGK Vanguard FTSE Europe ETF	2.83%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%

Frequently Asked Questions

Can I hold both IVLU and VGK in my portfolio?

With a correlation of 0.91, IVLU and VGK move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, IVLU or VGK?

VGK has higher volatility (4.86%) compared to IVLU (4.47%). In terms of maximum drawdown, IVLU dropped -41.85% vs VGK's -63.61%.

Which ETF is better, IVLU or VGK?

On 10-year performance, IVLU leads with 11.09% vs 9.63% for VGK. On fees, VGK is cheaper at 0.06% per year. On volatility, IVLU has been the lower-risk option at 4.47%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IVLU or VGK?

Over the 10-year period, IVLU has performed better with a 11.09% return vs 9.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IVLU or VGK?

VGK is cheaper with a 0.06% expense ratio, compared with 0.30% for IVLU.

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

IVLU has the higher dividend yield at 3.34%, compared with 2.83% for VGK.

What is the main difference between IVLU and VGK?

IVLU is categorized as Foreign Large Cap Equities, while VGK is Europe Equities. IVLU tracks MSCI World ex USA Enhanced Value, while VGK tracks FTSE Developed Europe All Cap Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.30% for IVLU and 0.06% for VGK.

Which has better risk-adjusted returns?

IVLU currently has the higher Sharpe Ratio (2.14 vs 1.05), 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.