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

Correlation

The correlation between FQAL and JQUA is 0.90, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

FQAL vs. JQUA - Performance Comparison

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

110.00%120.00%130.00%140.00%150.00%160.00%170.00%NovemberDecember2025FebruaryMarchApril
129.43%
149.34%
FQAL
JQUA

Key characteristics

Sharpe Ratio

FQAL:

0.75

JQUA:

0.67

Sortino Ratio

FQAL:

1.15

JQUA:

1.05

Omega Ratio

FQAL:

1.17

JQUA:

1.15

Calmar Ratio

FQAL:

0.79

JQUA:

0.69

Martin Ratio

FQAL:

3.38

JQUA:

2.95

Ulcer Index

FQAL:

3.94%

JQUA:

3.92%

Daily Std Dev

FQAL:

17.83%

JQUA:

17.23%

Max Drawdown

FQAL:

-33.71%

JQUA:

-32.92%

Current Drawdown

FQAL:

-9.06%

JQUA:

-8.84%

Returns By Period

In the year-to-date period, FQAL achieves a -3.92% return, which is significantly lower than JQUA's -3.31% return.


FQAL

YTD

-3.92%

1M

-4.58%

6M

-3.49%

1Y

11.92%

5Y*

15.03%

10Y*

N/A

JQUA

YTD

-3.31%

1M

-3.88%

6M

-1.80%

1Y

10.38%

5Y*

16.38%

10Y*

N/A

*Annualized

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FQAL vs. JQUA - Expense Ratio Comparison

FQAL has a 0.29% expense ratio, which is higher than JQUA's 0.12% expense ratio.


Expense ratio chart for FQAL: current value is 0.29%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FQAL: 0.29%
Expense ratio chart for JQUA: current value is 0.12%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
JQUA: 0.12%

Risk-Adjusted Performance

FQAL vs. JQUA — Risk-Adjusted Performance Rank

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

FQAL
The Risk-Adjusted Performance Rank of FQAL is 7575
Overall Rank
The Sharpe Ratio Rank of FQAL is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of FQAL is 7373
Sortino Ratio Rank
The Omega Ratio Rank of FQAL is 7474
Omega Ratio Rank
The Calmar Ratio Rank of FQAL is 7777
Calmar Ratio Rank
The Martin Ratio Rank of FQAL is 7777
Martin Ratio Rank

JQUA
The Risk-Adjusted Performance Rank of JQUA is 7272
Overall Rank
The Sharpe Ratio Rank of JQUA is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of JQUA is 6969
Sortino Ratio Rank
The Omega Ratio Rank of JQUA is 7171
Omega Ratio Rank
The Calmar Ratio Rank of JQUA is 7575
Calmar Ratio Rank
The Martin Ratio Rank of JQUA is 7373
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FQAL vs. JQUA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Quality Factor ETF (FQAL) 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.


The chart of Sharpe ratio for FQAL, currently valued at 0.75, compared to the broader market-1.000.001.002.003.004.00
FQAL: 0.75
JQUA: 0.67
The chart of Sortino ratio for FQAL, currently valued at 1.15, compared to the broader market-2.000.002.004.006.008.00
FQAL: 1.15
JQUA: 1.05
The chart of Omega ratio for FQAL, currently valued at 1.17, compared to the broader market0.501.001.502.00
FQAL: 1.17
JQUA: 1.15
The chart of Calmar ratio for FQAL, currently valued at 0.79, compared to the broader market0.002.004.006.008.0010.0012.00
FQAL: 0.79
JQUA: 0.69
The chart of Martin ratio for FQAL, currently valued at 3.38, compared to the broader market0.0020.0040.0060.00
FQAL: 3.38
JQUA: 2.95

The current FQAL Sharpe Ratio is 0.75, which is comparable to the JQUA Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of FQAL 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.75
0.67
FQAL
JQUA

Dividends

FQAL vs. JQUA - Dividend Comparison

FQAL's dividend yield for the trailing twelve months is around 1.31%, less than JQUA's 1.37% yield.


TTM202420232022202120202019201820172016
FQAL
Fidelity Quality Factor ETF
1.31%1.20%1.35%1.52%1.17%1.46%1.55%1.73%1.53%0.43%
JQUA
JPMorgan U.S. Quality Factor ETF
1.37%1.24%1.22%1.60%1.32%1.44%1.67%2.10%0.40%0.00%

Drawdowns

FQAL vs. JQUA - Drawdown Comparison

The maximum FQAL drawdown since its inception was -33.71%, roughly equal to the maximum JQUA drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for FQAL and JQUA. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.06%
-8.84%
FQAL
JQUA

Volatility

FQAL vs. JQUA - Volatility Comparison

Fidelity Quality Factor ETF (FQAL) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 12.78% and 12.73%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
12.78%
12.73%
FQAL
JQUA