EFAA vs. SPHQ

Last updated Jun 4, 2026

EFAA (Invesco MSCI EAFE Income Advantage ETF) and SPHQ (Invesco S&P 500 Quality ETF) are both exchange-traded funds - EFAA is a Derivative Income fund actively managed by Invesco, while SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index. EFAA is actively managed, while SPHQ is passively managed. Over the past year, EFAA returned 18.26% vs 23.22% for SPHQ. A 0.68 correlation means they provide meaningful diversification when combined. EFAA charges 0.39%/yr vs 0.15%/yr for SPHQ.

Performance

EFAA vs. SPHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco MSCI EAFE Income Advantage ETF (EFAA) and Invesco S&P 500 Quality ETF (SPHQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EFAA achieves a 5.70% return, which is significantly lower than SPHQ's 15.48% return.

EFAA

• 1D: -0.42%
• 1M: 2.87%
• YTD: 5.70%
• 6M: 8.09%
• 1Y: 18.26%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPHQ

• 1D: 0.28%
• 1M: 7.17%
• YTD: 15.48%
• 6M: 16.06%
• 1Y: 23.22%
• 3Y*: 22.41%
• 5Y*: 14.54%
• 10Y*: 15.01%

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

EFAA vs. SPHQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
EFAA Invesco MSCI EAFE Income Advantage ETF	5.70%	25.80%	-3.30%
SPHQ Invesco S&P 500 Quality ETF	15.48%	13.25%	4.09%

Correlation

The correlation between EFAA and SPHQ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (All Time) Calculated using the full available price history since Jul 18, 2024	0.68

The correlation between EFAA and SPHQ has been stable across timeframes, ranging from 0.68 to 0.70 - a consistent structural relationship.

EFAA vs. SPHQ - Sectors Allocation Comparison

Sectors	EFAA	SPHQ
Financial Services	24.5%	13.3%
Industrials	20.0%	24.3%
Healthcare	10.5%	8.4%
Technology	10.4%	28.1%
Consumer Cyclical	7.6%	4.6%
Consumer Defensive	6.8%	15.4%
Basic Materials	5.9%	2.2%
Communication Services	4.5%	2.0%
Energy	4.0%	0.7%
Utilities	3.9%	1.0%
Real Estate	1.9%	-

Return for Risk

EFAA vs. SPHQ — Risk / Return Rank

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

EFAA

EFAA Risk / Return Rank: 41
EFAA Sharpe Ratio Rank: 43
EFAA Sortino Ratio Rank: 43
EFAA Omega Ratio Rank: 43
EFAA Calmar Ratio Rank: 36
EFAA Martin Ratio Rank: 42

SPHQ

SPHQ Risk / Return Rank: 54
SPHQ Sharpe Ratio Rank: 53
SPHQ Sortino Ratio Rank: 55
SPHQ Omega Ratio Rank: 49
SPHQ Calmar Ratio Rank: 52
SPHQ Martin Ratio Rank: 61

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.

EFAA vs. SPHQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI EAFE Income Advantage ETF (EFAA) and Invesco S&P 500 Quality ETF (SPHQ). 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.

	EFAA	SPHQ	Difference
Sharpe ratio: Return per unit of total volatility	1.54	1.85	-0.31
Sortino ratio: Return per unit of downside risk	2.17	2.69	-0.51
Omega ratio: Gain probability vs. loss probability	1.28	1.32	-0.04
Calmar ratio: Return relative to maximum drawdown	1.81	2.62	-0.81
Martin ratio: Return relative to average drawdown	7.00	11.17	-4.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EFAA vs. SPHQ - Sharpe Ratio Comparison

The current EFAA Sharpe Ratio is 1.54, which is comparable to the SPHQ Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of EFAA and SPHQ, 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

	EFAA	SPHQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.54	1.85	-0.31
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.89	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.84	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.11	0.53	+0.58

Drawdowns

EFAA vs. SPHQ - Drawdown Comparison

The maximum EFAA drawdown since its inception was -11.97%, smaller than the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for EFAA and SPHQ.

Drawdown Indicators

	EFAA	SPHQ	Difference
Max Drawdown Largest peak-to-trough decline	-11.97%	-57.83%	+45.86%
Max Drawdown (1Y) Largest decline over 1 year	-10.14%	-8.90%	-1.24%
Max Drawdown (3Y) Largest decline over 3 years	—	-16.57%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-25.04%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-31.60%	—
Current Drawdown Current decline from peak	-1.22%	0.00%	-1.22%
Average Drawdown Average peak-to-trough decline	-2.04%	-10.70%	+8.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.61%	2.08%	+0.53%

Volatility

EFAA vs. SPHQ - Volatility Comparison

Invesco MSCI EAFE Income Advantage ETF (EFAA) and Invesco S&P 500 Quality ETF (SPHQ) have volatilities of 3.54% and 3.49%, 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.

Volatility by Period

	EFAA	SPHQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.54%	3.49%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	9.72%	10.18%	-0.46%
Volatility (1Y) Calculated over the trailing 1-year period	11.96%	12.62%	-0.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.96%	16.45%	-3.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.96%	17.86%	-4.90%

EFAA vs. SPHQ - Expense Ratio Comparison

EFAA has a 0.39% expense ratio, which is higher than SPHQ's 0.15% expense ratio.

Dividends

EFAA vs. SPHQ - Dividend Comparison

EFAA's dividend yield for the trailing twelve months is around 8.13%, more than SPHQ's 1.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFAA Invesco MSCI EAFE Income Advantage ETF	8.13%	7.94%	3.29%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPHQ Invesco S&P 500 Quality ETF	1.04%	1.09%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%

Frequently Asked Questions

Can I hold both EFAA and SPHQ in my portfolio?

EFAA and SPHQ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFAA or SPHQ?

EFAA has higher volatility (3.54%) compared to SPHQ (3.49%). In terms of maximum drawdown, EFAA dropped -11.97% vs SPHQ's -57.83%.

Which ETF is better, EFAA or SPHQ?

On 1-year performance, SPHQ leads with 23.22% vs 18.26% for EFAA. On fees, SPHQ is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAA or SPHQ?

Over the 1-year period, SPHQ has performed better with a 23.22% return vs 18.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFAA or SPHQ?

SPHQ is cheaper with a 0.15% expense ratio, compared with 0.39% for EFAA.

Which ETF pays a higher dividend yield, EFAA or SPHQ?

EFAA has the higher dividend yield at 8.13%, compared with 1.04% for SPHQ.

What is the main difference between EFAA and SPHQ?

EFAA is categorized as Derivative Income, while SPHQ is S&P 500. Their fees differ too: 0.39% for EFAA and 0.15% for SPHQ.

Which has better risk-adjusted returns?

SPHQ currently has the higher Sharpe Ratio (1.85 vs 1.54), 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.