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

Correlation

The correlation between IVLU and VXUS is 0.86, 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.


-0.50.00.51.00.9

Performance

IVLU vs. VXUS - Performance Comparison

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

45.00%50.00%55.00%60.00%65.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
46.88%
54.94%
IVLU
VXUS

Key characteristics

Sharpe Ratio

IVLU:

0.64

VXUS:

0.64

Sortino Ratio

IVLU:

0.93

VXUS:

0.96

Omega Ratio

IVLU:

1.12

VXUS:

1.12

Calmar Ratio

IVLU:

0.92

VXUS:

0.87

Martin Ratio

IVLU:

2.53

VXUS:

2.67

Ulcer Index

IVLU:

3.26%

VXUS:

3.06%

Daily Std Dev

IVLU:

12.88%

VXUS:

12.77%

Max Drawdown

IVLU:

-41.86%

VXUS:

-35.97%

Current Drawdown

IVLU:

-8.56%

VXUS:

-8.39%

Returns By Period

In the year-to-date period, IVLU achieves a 5.39% return, which is significantly higher than VXUS's 4.99% return.


IVLU

YTD

5.39%

1M

-1.32%

6M

0.61%

1Y

6.51%

5Y*

5.58%

10Y*

N/A

VXUS

YTD

4.99%

1M

-1.34%

6M

0.14%

1Y

6.27%

5Y*

4.38%

10Y*

4.99%

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. VXUS - Expense Ratio Comparison

IVLU has a 0.30% expense ratio, which is higher than VXUS's 0.07% 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 VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

IVLU vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Value Factor ETF (IVLU) and Vanguard Total International Stock ETF (VXUS). 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 0.64, compared to the broader market0.002.004.000.640.64
The chart of Sortino ratio for IVLU, currently valued at 0.93, compared to the broader market-2.000.002.004.006.008.0010.000.930.96
The chart of Omega ratio for IVLU, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.12
The chart of Calmar ratio for IVLU, currently valued at 0.92, compared to the broader market0.005.0010.0015.000.920.87
The chart of Martin ratio for IVLU, currently valued at 2.53, compared to the broader market0.0020.0040.0060.0080.00100.002.532.67
IVLU
VXUS

The current IVLU Sharpe Ratio is 0.64, which is comparable to the VXUS Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of IVLU and VXUS, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.64
0.64
IVLU
VXUS

Dividends

IVLU vs. VXUS - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.52%, more than VXUS's 3.37% yield.


TTM20232022202120202019201820172016201520142013
IVLU
iShares MSCI Intl Value Factor ETF
4.52%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%0.00%0.00%
VXUS
Vanguard Total International Stock ETF
3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

IVLU vs. VXUS - Drawdown Comparison

The maximum IVLU drawdown since its inception was -41.86%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for IVLU and VXUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.56%
-8.39%
IVLU
VXUS

Volatility

IVLU vs. VXUS - Volatility Comparison

iShares MSCI Intl Value Factor ETF (IVLU) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.38% and 3.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.38%
3.42%
IVLU
VXUS
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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