FEX vs. JQUA
Compare and contrast key facts about First Trust Large Cap Core AlphaDEX Fund (FEX) and JPMorgan U.S. Quality Factor ETF (JQUA).
FEX and JQUA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEX is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Large Cap Core Index. It was launched on May 8, 2007. JQUA is a passively managed fund by JPMorgan that tracks the performance of the JP Morgan US Quality Factor Index. It was launched on Nov 8, 2017. Both FEX and JQUA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
FEX vs. JQUA - Performance Comparison
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FEX vs. JQUA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FEX First Trust Large Cap Core AlphaDEX Fund | 3.64% | 15.05% | 17.07% | 14.31% | -11.86% | 26.83% | 14.28% | 26.93% | -9.89% | 4.62% |
JQUA JPMorgan U.S. Quality Factor ETF | -2.29% | 11.69% | 21.21% | 25.13% | -13.45% | 28.68% | 16.56% | 28.47% | -2.98% | 5.07% |
Returns By Period
In the year-to-date period, FEX achieves a 3.64% return, which is significantly higher than JQUA's -2.29% return.
FEX
- 1D
- 0.58%
- 1M
- -3.65%
- YTD
- 3.64%
- 6M
- 5.38%
- 1Y
- 20.79%
- 3Y*
- 16.50%
- 5Y*
- 10.06%
- 10Y*
- 12.04%
JQUA
- 1D
- 0.39%
- 1M
- -4.17%
- YTD
- -2.29%
- 6M
- -1.53%
- 1Y
- 10.04%
- 3Y*
- 15.78%
- 5Y*
- 11.56%
- 10Y*
- —
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FEX vs. JQUA - Expense Ratio Comparison
FEX has a 0.59% expense ratio, which is higher than JQUA's 0.12% expense ratio.
Return for Risk
FEX vs. JQUA — Risk / Return Rank
FEX
JQUA
FEX vs. JQUA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Large Cap Core AlphaDEX Fund (FEX) 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.
| FEX | JQUA | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.18 | 0.60 | +0.58 |
Sortino ratioReturn per unit of downside risk | 1.69 | 0.98 | +0.71 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.14 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | 1.61 | 0.90 | +0.71 |
Martin ratioReturn relative to average drawdown | 7.88 | 4.40 | +3.48 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FEX | JQUA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.18 | 0.60 | +0.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.61 | 0.74 | -0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.73 | -0.28 |
Correlation
The correlation between FEX and JQUA is 0.87, 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.
Dividends
FEX vs. JQUA - Dividend Comparison
FEX's dividend yield for the trailing twelve months is around 1.06%, less than JQUA's 1.25% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEX First Trust Large Cap Core AlphaDEX Fund | 1.06% | 1.10% | 1.18% | 1.38% | 1.61% | 0.80% | 1.21% | 1.32% | 1.34% | 1.07% | 1.29% | 1.33% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.25% | 1.19% | 1.24% | 1.21% | 1.60% | 1.32% | 1.44% | 1.67% | 2.10% | 0.40% | 0.00% | 0.00% |
Drawdowns
FEX vs. JQUA - Drawdown Comparison
The maximum FEX drawdown since its inception was -58.81%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for FEX and JQUA.
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Drawdown Indicators
| FEX | JQUA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.81% | -32.92% | -25.89% |
Max Drawdown (1Y)Largest decline over 1 year | -13.08% | -11.55% | -1.53% |
Max Drawdown (5Y)Largest decline over 5 years | -21.27% | -22.47% | +1.20% |
Max Drawdown (10Y)Largest decline over 10 years | -39.51% | — | — |
Current DrawdownCurrent decline from peak | -3.71% | -4.57% | +0.86% |
Average DrawdownAverage peak-to-trough decline | -7.95% | -4.23% | -3.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.67% | 2.36% | +0.31% |
Volatility
FEX vs. JQUA - Volatility Comparison
First Trust Large Cap Core AlphaDEX Fund (FEX) has a higher volatility of 4.67% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 4.42%. This indicates that FEX's price experiences larger fluctuations and is considered to be riskier than JQUA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FEX | JQUA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 4.42% | +0.25% |
Volatility (6M)Calculated over the trailing 6-month period | 9.74% | 8.57% | +1.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.71% | 16.71% | +1.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.44% | 15.61% | +0.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.56% | 18.10% | +0.46% |