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

Key characteristics


GARPSPHQ
YTD Return36.97%27.96%
1Y Return51.19%38.63%
3Y Return (Ann)13.07%11.19%
Sharpe Ratio2.783.12
Sortino Ratio3.564.31
Omega Ratio1.501.57
Calmar Ratio3.736.11
Martin Ratio14.3123.76
Ulcer Index3.50%1.59%
Daily Std Dev18.02%12.08%
Max Drawdown-31.34%-57.83%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between GARP and SPHQ is 0.85, 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.

Performance

GARP vs. SPHQ - Performance Comparison

In the year-to-date period, GARP achieves a 36.97% return, which is significantly higher than SPHQ's 27.96% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.21%
14.54%
GARP
SPHQ

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GARP vs. SPHQ - Expense Ratio Comparison

Both GARP and SPHQ have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


GARP
iShares MSCI USA Quality GARP ETF
Expense ratio chart for GARP: 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%
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

GARP vs. SPHQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality GARP ETF (GARP) 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.


GARP
Sharpe ratio
The chart of Sharpe ratio for GARP, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for GARP, currently valued at 3.56, compared to the broader market0.005.0010.003.56
Omega ratio
The chart of Omega ratio for GARP, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for GARP, currently valued at 3.73, compared to the broader market0.005.0010.0015.003.73
Martin ratio
The chart of Martin ratio for GARP, currently valued at 14.31, compared to the broader market0.0020.0040.0060.0080.00100.0014.31
SPHQ
Sharpe ratio
The chart of Sharpe ratio for SPHQ, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Sortino ratio
The chart of Sortino ratio for SPHQ, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for SPHQ, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for SPHQ, currently valued at 6.11, compared to the broader market0.005.0010.0015.006.11
Martin ratio
The chart of Martin ratio for SPHQ, currently valued at 23.76, compared to the broader market0.0020.0040.0060.0080.00100.0023.76

GARP vs. SPHQ - Sharpe Ratio Comparison

The current GARP Sharpe Ratio is 2.78, which is comparable to the SPHQ Sharpe Ratio of 3.12. The chart below compares the historical Sharpe Ratios of GARP 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 Ratio2.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.78
3.12
GARP
SPHQ

Dividends

GARP vs. SPHQ - Dividend Comparison

GARP's dividend yield for the trailing twelve months is around 0.37%, less than SPHQ's 1.13% yield.


TTM20232022202120202019201820172016201520142013
GARP
iShares MSCI USA Quality GARP ETF
0.37%0.75%1.85%0.67%0.75%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPHQ
Invesco S&P 500® Quality ETF
1.13%1.43%1.85%1.19%1.56%1.50%1.86%1.57%1.68%2.29%1.66%1.99%

Drawdowns

GARP vs. SPHQ - Drawdown Comparison

The maximum GARP drawdown since its inception was -31.34%, smaller than the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for GARP and SPHQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
GARP
SPHQ

Volatility

GARP vs. SPHQ - Volatility Comparison

iShares MSCI USA Quality GARP ETF (GARP) has a higher volatility of 5.97% compared to Invesco S&P 500® Quality ETF (SPHQ) at 3.40%. This indicates that GARP's price experiences larger fluctuations and is considered to be riskier than SPHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.97%
3.40%
GARP
SPHQ