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GSEW vs. QUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GSEW and QUS is 0.93, 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

GSEW vs. QUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW) and SPDR MSCI USA StrategicFactors ETF (QUS). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
116.02%
146.12%
GSEW
QUS

Key characteristics

Sharpe Ratio

GSEW:

1.69

QUS:

2.13

Sortino Ratio

GSEW:

2.36

QUS:

2.98

Omega Ratio

GSEW:

1.30

QUS:

1.40

Calmar Ratio

GSEW:

2.84

QUS:

3.87

Martin Ratio

GSEW:

9.75

QUS:

13.26

Ulcer Index

GSEW:

2.06%

QUS:

1.63%

Daily Std Dev

GSEW:

11.88%

QUS:

10.14%

Max Drawdown

GSEW:

-38.65%

QUS:

-33.78%

Current Drawdown

GSEW:

-5.71%

QUS:

-4.20%

Returns By Period

In the year-to-date period, GSEW achieves a 17.62% return, which is significantly lower than QUS's 19.65% return.


GSEW

YTD

17.62%

1M

-2.73%

6M

9.82%

1Y

18.62%

5Y*

10.79%

10Y*

N/A

QUS

YTD

19.65%

1M

-1.61%

6M

6.25%

1Y

20.53%

5Y*

12.30%

10Y*

N/A

Compare stocks, funds, or ETFs

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


GSEW vs. QUS - Expense Ratio Comparison

GSEW has a 0.09% expense ratio, which is lower than QUS's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QUS
SPDR MSCI USA StrategicFactors ETF
Expense ratio chart for QUS: 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 GSEW: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

GSEW vs. QUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW) and SPDR MSCI USA StrategicFactors ETF (QUS). 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 GSEW, currently valued at 1.69, compared to the broader market0.002.004.001.692.13
The chart of Sortino ratio for GSEW, currently valued at 2.36, compared to the broader market-2.000.002.004.006.008.0010.002.362.98
The chart of Omega ratio for GSEW, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.40
The chart of Calmar ratio for GSEW, currently valued at 2.84, compared to the broader market0.005.0010.0015.002.843.87
The chart of Martin ratio for GSEW, currently valued at 9.75, compared to the broader market0.0020.0040.0060.0080.00100.009.7513.26
GSEW
QUS

The current GSEW Sharpe Ratio is 1.69, which is comparable to the QUS Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of GSEW and QUS, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.69
2.13
GSEW
QUS

Dividends

GSEW vs. QUS - Dividend Comparison

GSEW's dividend yield for the trailing twelve months is around 1.49%, which matches QUS's 1.49% yield.


TTM202320222021202020192018201720162015
GSEW
Goldman Sachs Equal Weight U.S. Large Cap Equity ETF
1.49%1.64%1.73%1.34%1.53%1.65%1.56%0.54%0.00%0.00%
QUS
SPDR MSCI USA StrategicFactors ETF
1.49%1.57%1.68%1.27%1.73%1.81%2.12%1.86%2.07%1.48%

Drawdowns

GSEW vs. QUS - Drawdown Comparison

The maximum GSEW drawdown since its inception was -38.65%, which is greater than QUS's maximum drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for GSEW and QUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.71%
-4.20%
GSEW
QUS

Volatility

GSEW vs. QUS - Volatility Comparison

Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW) has a higher volatility of 4.36% compared to SPDR MSCI USA StrategicFactors ETF (QUS) at 3.18%. This indicates that GSEW's price experiences larger fluctuations and is considered to be riskier than QUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.36%
3.18%
GSEW
QUS
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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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