JQUA vs. TSM

Last updated Jun 9, 2026

JQUA (JPMorgan U.S. Quality Factor ETF) is Large Cap Blend Equities fund tracking the JP Morgan US Quality Factor Index, while TSM (Taiwan Semiconductor Manufacturing Company Limited) is a stock. Over the past 5 years, JQUA returned 13.33%/yr vs 31.67%/yr for TSM. A 0.54 correlation means they provide meaningful diversification when combined.

Performance

JQUA vs. TSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan U.S. Quality Factor ETF (JQUA) and Taiwan Semiconductor Manufacturing Company Limited (TSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JQUA achieves a 11.39% return, which is significantly lower than TSM's 40.84% return.

JQUA

• 1D: 0.41%
• 1M: 2.90%
• YTD: 11.39%
• 6M: 11.55%
• 1Y: 19.08%
• 3Y*: 19.51%
• 5Y*: 13.33%
• 10Y*: —

TSM

• 1D: 2.80%
• 1M: 3.67%
• YTD: 40.84%
• 6M: 42.15%
• 1Y: 110.53%
• 3Y*: 63.10%
• 5Y*: 31.67%
• 10Y*: 35.71%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JQUA vs. TSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JQUA JPMorgan U.S. Quality Factor ETF	11.39%	11.69%	21.21%	25.13%	-13.45%	28.68%	16.56%	28.47%	-2.98%	5.07%
TSM Taiwan Semiconductor Manufacturing Company Limited	40.84%	55.91%	92.58%	42.33%	-36.75%	12.09%	92.67%	64.85%	-3.50%	-4.78%

Correlation

The correlation between JQUA and TSM is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.57
Correlation (All Time) Calculated using the full available price history since Nov 10, 2017	0.54

The correlation between JQUA and TSM shifts across timeframes, from 0.45 (1 year) to 0.57 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

JQUA vs. TSM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JQUA

JQUA Risk / Return Rank: 57
JQUA Sharpe Ratio Rank: 54
JQUA Sortino Ratio Rank: 53
JQUA Omega Ratio Rank: 51
JQUA Calmar Ratio Rank: 60
JQUA Martin Ratio Rank: 67

TSM

TSM Risk / Return Rank: 94
TSM Sharpe Ratio Rank: 95
TSM Sortino Ratio Rank: 94
TSM Omega Ratio Rank: 91
TSM Calmar Ratio Rank: 94
TSM Martin Ratio Rank: 96

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.

JQUA vs. TSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Quality Factor ETF (JQUA) and Taiwan Semiconductor Manufacturing Company Limited (TSM). 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.

	JQUA	TSM	Difference
Sharpe ratio: Return per unit of total volatility	1.66	3.06	-1.40
Sortino ratio: Return per unit of downside risk	2.34	3.62	-1.28
Omega ratio: Gain probability vs. loss probability	1.29	1.44	-0.15
Calmar ratio: Return relative to maximum drawdown	2.69	6.13	-3.44
Martin ratio: Return relative to average drawdown	11.21	21.94	-10.73
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JQUA vs. TSM - Sharpe Ratio Comparison

The current JQUA Sharpe Ratio is 1.66, which is lower than the TSM Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of JQUA and TSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JQUA	TSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.66	3.06	-1.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.86	0.85	0.00
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	1.05	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	0.37	+0.45

Drawdowns

JQUA vs. TSM - Drawdown Comparison

The maximum JQUA drawdown since its inception was -32.92%, smaller than the maximum TSM drawdown of -89.08%. Use the drawdown chart below to compare losses from any high point for JQUA and TSM.

Drawdown Indicators

	JQUA	TSM	Difference
Max Drawdown Largest peak-to-trough decline	-32.92%	-89.08%	+56.16%
Max Drawdown (1Y) Largest decline over 1 year	-7.13%	-18.14%	+11.01%
Max Drawdown (3Y) Largest decline over 3 years	-16.81%	-36.82%	+20.01%
Max Drawdown (5Y) Largest decline over 5 years	-22.47%	-56.47%	+34.00%
Max Drawdown (10Y) Largest decline over 10 years	—	-56.47%	—
Current Drawdown Current decline from peak	-2.69%	-4.45%	+1.76%
Average Drawdown Average peak-to-trough decline	-4.16%	-42.87%	+38.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.71%	5.06%	-3.35%

Volatility

JQUA vs. TSM - Volatility Comparison

The current volatility for JPMorgan U.S. Quality Factor ETF (JQUA) is 4.16%, while Taiwan Semiconductor Manufacturing Company Limited (TSM) has a volatility of 12.47%. This indicates that JQUA experiences smaller price fluctuations and is considered to be less risky than TSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JQUA	TSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.16%	12.47%	-8.31%
Volatility (6M) Calculated over the trailing 6-month period	8.82%	28.23%	-19.41%
Volatility (1Y) Calculated over the trailing 1-year period	11.57%	36.40%	-24.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.66%	37.40%	-21.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.01%	34.20%	-16.19%

Dividends

JQUA vs. TSM - Dividend Comparison

JQUA's dividend yield for the trailing twelve months is around 1.10%, more than TSM's 0.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JQUA JPMorgan U.S. Quality Factor ETF	1.10%	1.19%	1.24%	1.21%	1.60%	1.32%	1.44%	1.67%	2.10%	0.40%	0.00%	0.00%
TSM Taiwan Semiconductor Manufacturing Company Limited	0.78%	1.00%	1.18%	1.78%	2.49%	1.57%	1.56%	3.46%	3.64%	2.32%	2.61%	2.54%

Frequently Asked Questions

Can I hold both JQUA and TSM in my portfolio?

JQUA and TSM have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JQUA or TSM?

TSM has higher volatility (12.47%) compared to JQUA (4.16%). In terms of maximum drawdown, JQUA dropped -32.92% vs TSM's -89.08%.

Which has better risk-adjusted returns?

TSM currently has the higher Sharpe Ratio (3.06 vs 1.66), 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.