XMU.TO vs. IDLV
Compare and contrast key facts about iShares MSCI Min Vol USA Index ETF (XMU.TO) and Invesco S&P International Developed Low Volatility ETF (IDLV).
XMU.TO and IDLV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XMU.TO is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Jul 24, 2012. IDLV is a passively managed fund by Invesco that tracks the performance of the S&P BMI International Developed Low Volatility Index. It was launched on Jan 13, 2012. Both XMU.TO and IDLV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XMU.TO or IDLV.
Key characteristics
| XMU.TO | IDLV | |
|---|---|---|
| YTD Return | 27.18% | 5.68% |
| 1Y Return | 28.56% | 14.55% |
| 3Y Return (Ann) | 10.30% | 0.71% |
| 5Y Return (Ann) | 9.86% | 0.54% |
| 10Y Return (Ann) | 12.96% | 2.82% |
| Sharpe Ratio | 3.68 | 1.48 |
| Sortino Ratio | 5.91 | 2.08 |
| Omega Ratio | 1.77 | 1.26 |
| Calmar Ratio | 9.33 | 1.08 |
| Martin Ratio | 28.24 | 7.45 |
| Ulcer Index | 1.05% | 2.02% |
| Daily Std Dev | 8.03% | 10.18% |
| Max Drawdown | -27.31% | -34.65% |
| Current Drawdown | 0.00% | -5.42% |
Correlation
The correlation between XMU.TO and IDLV is 0.62, 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.
Performance
XMU.TO vs. IDLV - Performance Comparison
In the year-to-date period, XMU.TO achieves a 27.18% return, which is significantly higher than IDLV's 5.68% return. Over the past 10 years, XMU.TO has outperformed IDLV with an annualized return of 12.96%, while IDLV has yielded a comparatively lower 2.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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XMU.TO vs. IDLV - Expense Ratio Comparison
XMU.TO has a 0.33% expense ratio, which is higher than IDLV's 0.25% expense ratio.
Risk-Adjusted Performance
XMU.TO vs. IDLV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Min Vol USA Index ETF (XMU.TO) and Invesco S&P International Developed Low Volatility ETF (IDLV). 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.
Dividends
XMU.TO vs. IDLV - Dividend Comparison
XMU.TO's dividend yield for the trailing twelve months is around 1.13%, less than IDLV's 3.30% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XMU.TO iShares MSCI Min Vol USA Index ETF | 1.13% | 1.41% | 1.17% | 1.06% | 1.68% | 1.44% | 1.48% | 1.59% | 1.83% | 1.43% | 4.96% | 1.30% |
IDLV Invesco S&P International Developed Low Volatility ETF | 3.30% | 3.59% | 4.69% | 2.99% | 2.31% | 5.48% | 3.94% | 3.05% | 3.92% | 3.93% | 3.25% | 2.47% |
Drawdowns
XMU.TO vs. IDLV - Drawdown Comparison
The maximum XMU.TO drawdown since its inception was -27.31%, smaller than the maximum IDLV drawdown of -34.65%. Use the drawdown chart below to compare losses from any high point for XMU.TO and IDLV. For additional features, visit the drawdowns tool.
Volatility
XMU.TO vs. IDLV - Volatility Comparison
iShares MSCI Min Vol USA Index ETF (XMU.TO) has a higher volatility of 3.23% compared to Invesco S&P International Developed Low Volatility ETF (IDLV) at 2.87%. This indicates that XMU.TO's price experiences larger fluctuations and is considered to be riskier than IDLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.