FQAL vs. JQUA
Compare and contrast key facts about Fidelity Quality Factor ETF (FQAL) and JPMorgan U.S. Quality Factor ETF (JQUA).
FQAL and JQUA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FQAL is a passively managed fund by Fidelity that tracks the performance of the Fidelity U.S. Quality Factor Index. It was launched on Sep 12, 2016. JQUA is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Quality Factor Index. It was launched on Nov 8, 2017. Both FQAL 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FQAL or JQUA.
Performance
FQAL vs. JQUA - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with FQAL having a 24.35% return and JQUA slightly lower at 23.70%.
FQAL
24.35%
1.33%
14.20%
30.15%
14.61%
N/A
JQUA
23.70%
2.86%
13.97%
30.25%
15.85%
N/A
Key characteristics
| FQAL | JQUA | |
|---|---|---|
| Sharpe Ratio | 2.59 | 2.71 |
| Sortino Ratio | 3.54 | 3.74 |
| Omega Ratio | 1.48 | 1.49 |
| Calmar Ratio | 4.28 | 4.85 |
| Martin Ratio | 16.80 | 16.39 |
| Ulcer Index | 1.82% | 1.87% |
| Daily Std Dev | 11.81% | 11.33% |
| Max Drawdown | -33.71% | -32.92% |
| Current Drawdown | -0.84% | -0.41% |
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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.
Correlation
The correlation between FQAL and JQUA is 0.91, 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
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.
Dividends
FQAL vs. JQUA - Dividend Comparison
FQAL's dividend yield for the trailing twelve months is around 1.07%, less than JQUA's 1.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
FQAL Fidelity Quality Factor ETF | 1.07% | 1.35% | 1.52% | 1.17% | 1.46% | 1.55% | 1.73% | 1.53% | 0.43% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.15% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% | 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.
Volatility
FQAL vs. JQUA - Volatility Comparison
Fidelity Quality Factor ETF (FQAL) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 3.74% 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.