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LRGF vs. QUAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

LRGF vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Multifactor ETF (LRGF) and iShares Edge MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.48%
10.68%
LRGF
QUAL

Returns By Period

In the year-to-date period, LRGF achieves a 28.92% return, which is significantly higher than QUAL's 24.66% return.


LRGF

YTD

28.92%

1M

3.01%

6M

14.48%

1Y

36.57%

5Y (annualized)

14.63%

10Y (annualized)

N/A

QUAL

YTD

24.66%

1M

0.39%

6M

10.69%

1Y

30.41%

5Y (annualized)

15.02%

10Y (annualized)

13.13%

Key characteristics


LRGFQUAL
Sharpe Ratio2.922.45
Sortino Ratio3.903.36
Omega Ratio1.541.45
Calmar Ratio4.324.03
Martin Ratio19.1515.26
Ulcer Index1.94%2.02%
Daily Std Dev12.71%12.59%
Max Drawdown-36.03%-34.06%
Current Drawdown-0.34%-1.27%

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LRGF vs. QUAL - Expense Ratio Comparison

LRGF has a 0.20% expense ratio, which is higher than QUAL's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


LRGF
iShares MSCI USA Multifactor ETF
Expense ratio chart for LRGF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for QUAL: 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

-0.50.00.51.00.9

The correlation between LRGF and QUAL is 0.91, 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.

Risk-Adjusted Performance

LRGF vs. QUAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Multifactor ETF (LRGF) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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 LRGF, currently valued at 2.92, compared to the broader market0.002.004.002.922.45
The chart of Sortino ratio for LRGF, currently valued at 3.90, compared to the broader market-2.000.002.004.006.008.0010.003.903.36
The chart of Omega ratio for LRGF, currently valued at 1.54, compared to the broader market0.501.001.502.002.503.001.541.45
The chart of Calmar ratio for LRGF, currently valued at 4.32, compared to the broader market0.005.0010.0015.004.324.03
The chart of Martin ratio for LRGF, currently valued at 19.15, compared to the broader market0.0020.0040.0060.0080.00100.0019.1515.26
LRGF
QUAL

The current LRGF Sharpe Ratio is 2.92, which is comparable to the QUAL Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of LRGF and QUAL, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.92
2.45
LRGF
QUAL

Dividends

LRGF vs. QUAL - Dividend Comparison

LRGF's dividend yield for the trailing twelve months is around 1.19%, more than QUAL's 0.99% yield.


TTM20232022202120202019201820172016201520142013
LRGF
iShares MSCI USA Multifactor ETF
1.19%1.50%1.78%1.06%1.35%1.76%3.27%1.68%1.56%0.84%0.00%0.00%
QUAL
iShares Edge MSCI USA Quality Factor ETF
0.99%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%

Drawdowns

LRGF vs. QUAL - Drawdown Comparison

The maximum LRGF drawdown since its inception was -36.03%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for LRGF and QUAL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.34%
-1.27%
LRGF
QUAL

Volatility

LRGF vs. QUAL - Volatility Comparison

iShares MSCI USA Multifactor ETF (LRGF) has a higher volatility of 4.10% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.74%. This indicates that LRGF's price experiences larger fluctuations and is considered to be riskier than QUAL 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
3.74%
LRGF
QUAL