JQUA vs. SPHQ
Compare and contrast key facts about JPMorgan U.S. Quality Factor ETF (JQUA) and Invesco S&P 500® Quality ETF (SPHQ).
JQUA and SPHQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. SPHQ is a passively managed fund by Invesco that tracks the performance of the S&P 500 High Quality Rankings Index. It was launched on Dec 6, 2005. Both JQUA and SPHQ 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: JQUA or SPHQ.
Performance
JQUA vs. SPHQ - Performance Comparison
Returns By Period
In the year-to-date period, JQUA achieves a 23.70% return, which is significantly lower than SPHQ's 26.80% return.
JQUA
23.70%
2.86%
13.97%
30.25%
15.85%
N/A
SPHQ
26.80%
0.94%
11.37%
31.83%
16.07%
13.30%
Key characteristics
| JQUA | SPHQ | |
|---|---|---|
| Sharpe Ratio | 2.71 | 2.68 |
| Sortino Ratio | 3.74 | 3.71 |
| Omega Ratio | 1.49 | 1.48 |
| Calmar Ratio | 4.85 | 5.21 |
| Martin Ratio | 16.39 | 19.97 |
| Ulcer Index | 1.87% | 1.61% |
| Daily Std Dev | 11.33% | 12.01% |
| Max Drawdown | -32.92% | -57.83% |
| Current Drawdown | -0.41% | -0.90% |
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JQUA vs. SPHQ - Expense Ratio Comparison
JQUA has a 0.12% expense ratio, which is lower than SPHQ'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%.
Correlation
The correlation between JQUA and SPHQ is 0.88, 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
JQUA vs. SPHQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Quality Factor ETF (JQUA) 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.
Dividends
JQUA vs. SPHQ - Dividend Comparison
JQUA's dividend yield for the trailing twelve months is around 1.15%, which matches SPHQ's 1.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% | 0.00% |
SPHQ Invesco S&P 500® Quality ETF | 1.14% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
Drawdowns
JQUA vs. SPHQ - Drawdown Comparison
The maximum JQUA drawdown since its inception was -32.92%, smaller than the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for JQUA and SPHQ. For additional features, visit the drawdowns tool.
Volatility
JQUA vs. SPHQ - Volatility Comparison
JPMorgan U.S. Quality Factor ETF (JQUA) and Invesco S&P 500® Quality ETF (SPHQ) have volatilities of 3.63% and 3.53%, 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.