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GRPM vs. JQUA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

GRPM vs. JQUA

Last updated Jul 22, 2026
Documentation

GRPM (Invesco S&P MidCap 400® GARP ETF) and JQUA (JPMorgan U.S. Quality Factor ETF) are both exchange-traded funds - GRPM is a Mid Cap Blend Equities fund tracking the S&P MidCap 400® GARP Index, while JQUA is a Large Cap Blend Equities fund tracking the JP Morgan US Quality Factor Index. Both are passively managed. Over the past 5 years, GRPM returned 9.22%/yr vs 13.11%/yr for JQUA. A 0.77 correlation means they provide meaningful diversification when combined. GRPM charges 0.35%/yr vs 0.12%/yr for JQUA.

Performance

GRPM vs. JQUA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap 400® GARP ETF (GRPM) and JPMorgan U.S. Quality Factor ETF (JQUA). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, GRPM achieves a 10.42% return, which is significantly lower than JQUA's 14.58% return.

GRPM

1D
-0.12%
1M
3.96%
6M
8.89%
YTD
10.42%
1Y
19.46%
3Y*
13.07%
5Y*
9.22%
10Y*
10.95%
ALL TIME*
11.32%

JQUA

1D
0.56%
1M
1.08%
6M
14.42%
YTD
14.58%
1Y
20.91%
3Y*
18.22%
5Y*
13.11%
10Y*
—
ALL TIME*
14.72%
*Multi-year figures are annualized to reflect compound growth (CAGR)

GRPM vs. JQUA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GRPM
Invesco S&P MidCap 400® GARP ETF		10.42%7.81%15.67%18.79%-11.63%26.35%15.60%23.05%-12.45%4.37%
JQUA
JPMorgan U.S. Quality Factor ETF		14.58%11.69%21.21%25.13%-13.45%28.68%16.56%28.47%-2.98%5.07%

Correlation

The correlation between GRPM and JQUA is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.74

Correlation (3Y)
Calculated over the trailing 3-year period

0.77

Correlation (5Y)
Calculated over the trailing 5-year period

0.82

Correlation (All Time)
Calculated using the full available price history since Nov 9, 2017

0.77

The correlation between GRPM and JQUA has been stable across timeframes, ranging from 0.74 to 0.82 - a consistent structural relationship.

GRPM vs. JQUA - Sectors Allocation Comparison

Sectors
GRPM
JQUA

Financial Services

23.3%
12.0%

Technology

20.8%
41.0%

Healthcare

19.0%
8.8%

Consumer Cyclical

13.1%
9.5%

Industrials

12.3%
8.9%

Energy

5.0%
3.3%

Basic Materials

3.8%
1.7%

Consumer Defensive

2.6%
5.2%

Communication Services

-

6.2%

Real Estate

-

2.2%

Utilities

-

1.2%

Financial Services

GRPM
23.3%
JQUA
12.0%

Technology

GRPM
20.8%
JQUA
41.0%

Healthcare

GRPM
19.0%
JQUA
8.8%

Consumer Cyclical

GRPM
13.1%
JQUA
9.5%

Industrials

GRPM
12.3%
JQUA
8.9%

Energy

GRPM
5.0%
JQUA
3.3%

Basic Materials

GRPM
3.8%
JQUA
1.7%

Consumer Defensive

GRPM
2.6%
JQUA
5.2%

Communication Services

GRPM

-

JQUA
6.2%

Real Estate

GRPM

-

JQUA
2.2%

Utilities

GRPM

-

JQUA
1.2%

Compare stocks, funds, or ETFs

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

Invesco S&P MidCap 400® GARP ETF

JPMorgan U.S. Quality Factor ETF

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Often compared with JQUA:
JQUA vs. SPHQJQUA vs. VFQYJQUA vs. CGDVJQUA vs. SCHDJQUA vs. FQALJQUA vs. VIGJQUA vs. QUS

Return for Risk

GRPM vs. JQUA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GRPM
GRPM Risk / Return Rank: 5454
Overall Rank
GRPM Sharpe Ratio Rank: 4747
Sharpe Ratio Rank
GRPM Sortino Ratio Rank: 5050
Sortino Ratio Rank
GRPM Omega Ratio Rank: 4444
Omega Ratio Rank
GRPM Calmar Ratio Rank: 6969
Calmar Ratio Rank
GRPM Martin Ratio Rank: 5959
Martin Ratio Rank
JQUA
JQUA Risk / Return Rank: 7575
Overall Rank
JQUA Sharpe Ratio Rank: 7373
Sharpe Ratio Rank
JQUA Sortino Ratio Rank: 7373
Sortino Ratio Rank
JQUA Omega Ratio Rank: 6969
Omega Ratio Rank
JQUA Calmar Ratio Rank: 7777
Calmar Ratio Rank
JQUA Martin Ratio Rank: 8383
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GRPM vs. JQUA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400® GARP ETF (GRPM) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

GRPMJQUADifference
Sharpe ratioReturn per unit of total volatility
1.25
1.75

-0.50

Sortino ratioReturn per unit of downside risk
1.87
2.48

-0.61

Omega ratioGain probability vs. loss probability

1.22

1.30

-0.08

Calmar ratioReturn relative to maximum drawdown

2.57

2.95

-0.38

Martin ratioReturn relative to average drawdown

7.52

12.01

-4.49

GRPM vs. JQUA - Sharpe Ratio Comparison

The current GRPM Sharpe Ratio is 1.25, which is comparable to the JQUA Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of GRPM and JQUA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

GRPM vs. JQUA - Drawdown Comparison

The maximum GRPM drawdown since its inception was -43.12%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for GRPM and JQUA.

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Drawdown Indicators

GRPMJQUADifference

Max Drawdown

Largest peak-to-trough decline

-43.12%

-32.92%

-10.20%

Max Drawdown (1Y)

Largest decline over 1 year

-7.62%

-7.13%

-0.49%

Max Drawdown (3Y)

Largest decline over 3 years

-28.09%

-16.81%

-11.28%

Max Drawdown (5Y)

Largest decline over 5 years

-28.09%

-22.47%

-5.62%

Max Drawdown (10Y)

Largest decline over 10 years

-43.12%

—

—

Current Drawdown

Current decline from peak

-1.10%

-0.66%

-0.44%

Average Drawdown

Average peak-to-trough decline

-5.67%

-4.12%

-1.55%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.59%

1.75%

+0.84%

Volatility

GRPM vs. JQUA - Volatility Comparison

Invesco S&P MidCap 400® GARP ETF (GRPM) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 3.28% and 3.26%, 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.

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Volatility by Period

GRPMJQUADifference

Volatility (1M)

Calculated over the trailing 1-month period

3.28%

3.26%

+0.02%

Volatility (6M)

Calculated over the trailing 6-month period

10.47%

9.59%

+0.88%

Volatility (1Y)

Calculated over the trailing 1-year period

15.73%

12.01%

+3.72%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.78%

15.73%

+5.05%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.18%

17.95%

+4.23%

GRPM vs. JQUA - Expense Ratio Comparison

GRPM has a 0.35% expense ratio, which is higher than JQUA's 0.12% expense ratio.

Dividends

GRPM vs. JQUA - Dividend Comparison

GRPM's dividend yield for the trailing twelve months is around 0.72%, less than JQUA's 1.09% yield.

PositionTTM20252024202320222021202020192018201720162015
GRPM
Invesco S&P MidCap 400® GARP ETF		0.72%1.19%0.95%0.96%1.28%0.92%1.16%1.25%1.50%1.14%1.00%1.43%
JQUA
JPMorgan U.S. Quality Factor ETF		1.09%1.19%1.24%1.21%1.60%1.32%1.44%1.67%2.10%0.40%0.00%0.00%

Frequently Asked Questions

GRPM and JQUA have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

GRPM has higher volatility (3.28%) compared to JQUA (3.26%). In terms of maximum drawdown, GRPM dropped -43.12% vs JQUA's -32.92%.

On 5-year performance, JQUA leads with 13.11% vs 9.22% for GRPM. On fees, JQUA is cheaper at 0.12% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, JQUA has performed better with a 13.11% return vs 9.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

JQUA is cheaper with a 0.12% expense ratio, compared with 0.35% for GRPM.

JQUA has the higher dividend yield at 1.09%, compared with 0.72% for GRPM.

GRPM is categorized as Mid Cap Blend Equities, while JQUA is Large Cap Blend Equities. GRPM tracks S&P MidCap 400® GARP Index, while JQUA tracks JP Morgan US Quality Factor Index. They also come from different issuers: Invesco and JPMorgan. Their fees differ too: 0.35% for GRPM and 0.12% for JQUA.

JQUA currently has the higher Sharpe Ratio (1.75 vs 1.25), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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