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

Key characteristics


IVLUVXUS
YTD Return7.03%6.85%
1Y Return16.17%16.98%
3Y Return (Ann)6.27%0.52%
5Y Return (Ann)6.61%5.59%
Sharpe Ratio1.281.33
Sortino Ratio1.771.90
Omega Ratio1.221.24
Calmar Ratio2.081.23
Martin Ratio6.927.70
Ulcer Index2.41%2.24%
Daily Std Dev13.05%12.95%
Max Drawdown-41.86%-35.97%
Current Drawdown-7.13%-6.76%

Correlation

-0.50.00.51.00.9

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.

Performance

IVLU vs. VXUS - Performance Comparison

The year-to-date returns for both stocks are quite close, with IVLU having a 7.03% return and VXUS slightly lower at 6.85%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-2.26%
0.28%
IVLU
VXUS

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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.


IVLU
Sharpe ratio
The chart of Sharpe ratio for IVLU, currently valued at 1.28, compared to the broader market-2.000.002.004.006.001.28
Sortino ratio
The chart of Sortino ratio for IVLU, currently valued at 1.77, compared to the broader market-2.000.002.004.006.008.0010.0012.001.77
Omega ratio
The chart of Omega ratio for IVLU, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for IVLU, currently valued at 2.08, compared to the broader market0.005.0010.0015.002.08
Martin ratio
The chart of Martin ratio for IVLU, currently valued at 6.92, compared to the broader market0.0020.0040.0060.0080.00100.006.92
VXUS
Sharpe ratio
The chart of Sharpe ratio for VXUS, currently valued at 1.33, compared to the broader market-2.000.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for VXUS, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.0012.001.90
Omega ratio
The chart of Omega ratio for VXUS, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for VXUS, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.23
Martin ratio
The chart of Martin ratio for VXUS, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.007.70

IVLU vs. VXUS - Sharpe Ratio Comparison

The current IVLU Sharpe Ratio is 1.28, which is comparable to the VXUS Sharpe Ratio of 1.33. 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.28
1.33
IVLU
VXUS

Dividends

IVLU vs. VXUS - Dividend Comparison

IVLU's dividend yield for the trailing twelve months is around 4.55%, more than VXUS's 3.00% yield.


TTM20232022202120202019201820172016201520142013
IVLU
iShares MSCI Intl Value Factor ETF
4.55%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
3.00%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%JuneJulyAugustSeptemberOctoberNovember
-7.13%
-6.76%
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 4.13% and 4.21%, 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.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.13%
4.21%
IVLU
VXUS