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QEFA vs. IQLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QEFA and IQLT is 0.70, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

QEFA vs. IQLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI Intl Quality Factor ETF (IQLT). The values are adjusted to include any dividend payments, if applicable.

70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
98.17%
104.07%
QEFA
IQLT

Key characteristics

Sharpe Ratio

QEFA:

0.80

IQLT:

0.55

Sortino Ratio

QEFA:

1.23

IQLT:

0.89

Omega Ratio

QEFA:

1.16

IQLT:

1.12

Calmar Ratio

QEFA:

1.02

IQLT:

0.71

Martin Ratio

QEFA:

2.73

IQLT:

1.89

Ulcer Index

QEFA:

4.58%

IQLT:

4.95%

Daily Std Dev

QEFA:

15.70%

IQLT:

17.12%

Max Drawdown

QEFA:

-31.71%

IQLT:

-32.21%

Current Drawdown

QEFA:

-0.12%

IQLT:

-1.01%

Returns By Period

In the year-to-date period, QEFA achieves a 12.16% return, which is significantly higher than IQLT's 10.26% return. Over the past 10 years, QEFA has underperformed IQLT with an annualized return of 6.20%, while IQLT has yielded a comparatively higher 6.78% annualized return.


QEFA

YTD

12.16%

1M

2.20%

6M

6.85%

1Y

12.48%

5Y*

10.53%

10Y*

6.20%

IQLT

YTD

10.26%

1M

2.27%

6M

4.51%

1Y

9.54%

5Y*

11.05%

10Y*

6.78%

*Annualized

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QEFA vs. IQLT - Expense Ratio Comparison

Both QEFA and IQLT have an expense ratio of 0.30%.


Expense ratio chart for QEFA: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QEFA: 0.30%
Expense ratio chart for IQLT: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IQLT: 0.30%

Risk-Adjusted Performance

QEFA vs. IQLT — Risk-Adjusted Performance Rank

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

QEFA
The Risk-Adjusted Performance Rank of QEFA is 7575
Overall Rank
The Sharpe Ratio Rank of QEFA is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of QEFA is 7676
Sortino Ratio Rank
The Omega Ratio Rank of QEFA is 7373
Omega Ratio Rank
The Calmar Ratio Rank of QEFA is 8383
Calmar Ratio Rank
The Martin Ratio Rank of QEFA is 7171
Martin Ratio Rank

IQLT
The Risk-Adjusted Performance Rank of IQLT is 6363
Overall Rank
The Sharpe Ratio Rank of IQLT is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of IQLT is 6262
Sortino Ratio Rank
The Omega Ratio Rank of IQLT is 6060
Omega Ratio Rank
The Calmar Ratio Rank of IQLT is 7575
Calmar Ratio Rank
The Martin Ratio Rank of IQLT is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

QEFA vs. IQLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI Intl Quality Factor ETF (IQLT). 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.


The chart of Sharpe ratio for QEFA, currently valued at 0.80, compared to the broader market-1.000.001.002.003.004.00
QEFA: 0.80
IQLT: 0.55
The chart of Sortino ratio for QEFA, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.00
QEFA: 1.23
IQLT: 0.89
The chart of Omega ratio for QEFA, currently valued at 1.16, compared to the broader market0.501.001.502.002.50
QEFA: 1.16
IQLT: 1.12
The chart of Calmar ratio for QEFA, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.0012.00
QEFA: 1.02
IQLT: 0.71
The chart of Martin ratio for QEFA, currently valued at 2.73, compared to the broader market0.0020.0040.0060.00
QEFA: 2.73
IQLT: 1.89

The current QEFA Sharpe Ratio is 0.80, which is higher than the IQLT Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of QEFA and IQLT, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.80
0.55
QEFA
IQLT

Dividends

QEFA vs. IQLT - Dividend Comparison

QEFA's dividend yield for the trailing twelve months is around 2.82%, more than IQLT's 2.60% yield.


TTM20242023202220212020201920182017201620152014
QEFA
SPDR MSCI EAFE StrategicFactors ETF
2.82%3.17%2.79%3.02%2.37%1.82%2.95%3.22%2.34%2.01%2.94%1.14%
IQLT
iShares MSCI Intl Quality Factor ETF
2.60%2.87%2.27%3.14%2.24%1.60%2.28%2.72%2.36%2.91%2.78%0.00%

Drawdowns

QEFA vs. IQLT - Drawdown Comparison

The maximum QEFA drawdown since its inception was -31.71%, roughly equal to the maximum IQLT drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for QEFA and IQLT. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.12%
-1.01%
QEFA
IQLT

Volatility

QEFA vs. IQLT - Volatility Comparison

The current volatility for SPDR MSCI EAFE StrategicFactors ETF (QEFA) is 10.09%, while iShares MSCI Intl Quality Factor ETF (IQLT) has a volatility of 11.27%. This indicates that QEFA experiences smaller price fluctuations and is considered to be less risky than IQLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
10.09%
11.27%
QEFA
IQLT