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CGDV vs. JQUA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CGDV vs. JQUA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Capital Group Dividend Value ETF (CGDV) and JPMorgan U.S. Quality Factor ETF (JQUA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.65%
13.97%
CGDV
JQUA

Returns By Period

The year-to-date returns for both investments are quite close, with CGDV having a 23.21% return and JQUA slightly higher at 23.70%.


CGDV

YTD

23.21%

1M

-1.12%

6M

11.65%

1Y

31.80%

5Y (annualized)

N/A

10Y (annualized)

N/A

JQUA

YTD

23.70%

1M

2.86%

6M

13.97%

1Y

30.25%

5Y (annualized)

15.85%

10Y (annualized)

N/A

Key characteristics


CGDVJQUA
Sharpe Ratio2.822.71
Sortino Ratio3.913.74
Omega Ratio1.511.49
Calmar Ratio6.204.85
Martin Ratio23.2416.39
Ulcer Index1.39%1.87%
Daily Std Dev11.41%11.33%
Max Drawdown-21.82%-32.92%
Current Drawdown-2.05%-0.41%

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CGDV vs. JQUA - Expense Ratio Comparison

CGDV has a 0.33% expense ratio, which is higher than JQUA's 0.12% expense ratio.


CGDV
Capital Group Dividend Value ETF
Expense ratio chart for CGDV: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for JQUA: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Correlation

-0.50.00.51.00.9

The correlation between CGDV and JQUA is 0.93, 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

CGDV vs. JQUA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group Dividend Value ETF (CGDV) and JPMorgan U.S. Quality Factor ETF (JQUA). 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 CGDV, currently valued at 2.82, compared to the broader market0.002.004.002.822.71
The chart of Sortino ratio for CGDV, currently valued at 3.91, compared to the broader market-2.000.002.004.006.008.0010.0012.003.913.74
The chart of Omega ratio for CGDV, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.49
The chart of Calmar ratio for CGDV, currently valued at 6.20, compared to the broader market0.005.0010.0015.006.204.85
The chart of Martin ratio for CGDV, currently valued at 23.24, compared to the broader market0.0020.0040.0060.0080.00100.0023.2416.39
CGDV
JQUA

The current CGDV Sharpe Ratio is 2.82, which is comparable to the JQUA Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of CGDV and JQUA, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.82
2.71
CGDV
JQUA

Dividends

CGDV vs. JQUA - Dividend Comparison

CGDV's dividend yield for the trailing twelve months is around 1.50%, more than JQUA's 1.15% yield.


TTM2023202220212020201920182017
CGDV
Capital Group Dividend Value ETF
1.50%1.66%1.36%0.00%0.00%0.00%0.00%0.00%
JQUA
JPMorgan U.S. Quality Factor ETF
1.15%1.22%1.59%1.32%1.44%1.67%2.10%0.39%

Drawdowns

CGDV vs. JQUA - Drawdown Comparison

The maximum CGDV drawdown since its inception was -21.82%, smaller than the maximum JQUA drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for CGDV and JQUA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.05%
-0.41%
CGDV
JQUA

Volatility

CGDV vs. JQUA - Volatility Comparison

Capital Group Dividend Value ETF (CGDV) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 3.45% and 3.63%, 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.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.45%
3.63%
CGDV
JQUA