VGK vs. IVLU

Last updated Jun 9, 2026

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

Performance

VGK vs. IVLU - Performance Comparison

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

Returns By Period

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

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%

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%

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

VGK vs. IVLU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
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%

Correlation

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

VGK vs. IVLU - Sectors Allocation Comparison

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

Return for Risk

VGK vs. IVLU — Risk / Return Rank

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

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

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

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.

VGK vs. IVLU - Risk-Adjusted Trends Comparison

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

	VGK	IVLU	Difference
Sharpe ratio: Return per unit of total volatility	1.05	2.14	-1.09
Sortino ratio: Return per unit of downside risk	1.55	2.92	-1.37
Omega ratio: Gain probability vs. loss probability	1.19	1.38	-0.20
Calmar ratio: Return relative to maximum drawdown	1.35	2.80	-1.45
Martin ratio: Return relative to average drawdown	5.01	10.66	-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.

VGK vs. IVLU - Sharpe Ratio Comparison

The current VGK Sharpe Ratio is 1.05, which is lower than the IVLU Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of VGK and IVLU, 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

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

Drawdowns

VGK vs. IVLU - Drawdown Comparison

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

Drawdown Indicators

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

Volatility

VGK vs. IVLU - Volatility Comparison

Vanguard FTSE Europe ETF (VGK) has a higher volatility of 4.86% compared to iShares MSCI Intl Value Factor ETF (IVLU) at 4.47%. This indicates that VGK's price experiences larger fluctuations and is considered to be riskier than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

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

VGK vs. IVLU - Expense Ratio Comparison

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

Dividends

VGK vs. IVLU - Dividend Comparison

VGK's dividend yield for the trailing twelve months is around 2.83%, less than IVLU's 3.34% 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 VGK and IVLU in my portfolio?

With a correlation of 0.91, VGK and IVLU 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, VGK or IVLU?

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

Which ETF is better, VGK or IVLU?

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, VGK or IVLU?

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, VGK or IVLU?

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

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

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

What is the main difference between VGK and IVLU?

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

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.