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

Correlation

The correlation between FQAL and SPHQ is 0.94, 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.


-0.50.00.51.00.9

Performance

FQAL vs. SPHQ - Performance Comparison

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

160.00%170.00%180.00%190.00%200.00%210.00%220.00%JulyAugustSeptemberOctoberNovemberDecember
193.38%
209.73%
FQAL
SPHQ

Key characteristics

Sharpe Ratio

FQAL:

1.87

SPHQ:

2.13

Sortino Ratio

FQAL:

2.55

SPHQ:

2.93

Omega Ratio

FQAL:

1.34

SPHQ:

1.39

Calmar Ratio

FQAL:

3.17

SPHQ:

4.27

Martin Ratio

FQAL:

12.29

SPHQ:

16.24

Ulcer Index

FQAL:

1.85%

SPHQ:

1.62%

Daily Std Dev

FQAL:

12.12%

SPHQ:

12.33%

Max Drawdown

FQAL:

-33.71%

SPHQ:

-57.83%

Current Drawdown

FQAL:

-4.07%

SPHQ:

-3.25%

Returns By Period

In the year-to-date period, FQAL achieves a 21.96% return, which is significantly lower than SPHQ's 26.00% return.


FQAL

YTD

21.96%

1M

-0.45%

6M

6.46%

1Y

21.89%

5Y*

13.37%

10Y*

N/A

SPHQ

YTD

26.00%

1M

0.24%

6M

3.92%

1Y

25.67%

5Y*

14.87%

10Y*

13.11%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FQAL vs. SPHQ - Expense Ratio Comparison

FQAL has a 0.29% expense ratio, which is higher than SPHQ's 0.15% expense ratio.


FQAL
Fidelity Quality Factor ETF
Expense ratio chart for FQAL: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for SPHQ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

FQAL vs. SPHQ - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for FQAL, currently valued at 1.87, compared to the broader market0.002.004.001.872.13
The chart of Sortino ratio for FQAL, currently valued at 2.55, compared to the broader market-2.000.002.004.006.008.0010.002.552.93
The chart of Omega ratio for FQAL, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.39
The chart of Calmar ratio for FQAL, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.174.27
The chart of Martin ratio for FQAL, currently valued at 12.29, compared to the broader market0.0020.0040.0060.0080.00100.0012.2916.24
FQAL
SPHQ

The current FQAL Sharpe Ratio is 1.87, which is comparable to the SPHQ Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of FQAL and SPHQ, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.87
2.13
FQAL
SPHQ

Dividends

FQAL vs. SPHQ - Dividend Comparison

FQAL's dividend yield for the trailing twelve months is around 0.82%, less than SPHQ's 0.86% yield.


TTM20232022202120202019201820172016201520142013
FQAL
Fidelity Quality Factor ETF
0.82%1.35%1.52%1.17%1.46%1.55%1.73%1.53%0.43%0.00%0.00%0.00%
SPHQ
Invesco S&P 500® Quality ETF
0.86%1.43%1.85%1.19%1.56%1.50%1.86%1.57%1.68%2.29%1.66%1.99%

Drawdowns

FQAL vs. SPHQ - Drawdown Comparison

The maximum FQAL drawdown since its inception was -33.71%, smaller than the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for FQAL and SPHQ. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.07%
-3.25%
FQAL
SPHQ

Volatility

FQAL vs. SPHQ - Volatility Comparison

The current volatility for Fidelity Quality Factor ETF (FQAL) is 3.60%, while Invesco S&P 500® Quality ETF (SPHQ) has a volatility of 3.86%. This indicates that FQAL experiences smaller price fluctuations and is considered to be less risky than SPHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
3.86%
FQAL
SPHQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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