JQUA vs. VTV
Compare and contrast key facts about JPMorgan U.S. Quality Factor ETF (JQUA) and Vanguard Value ETF (VTV).
JQUA and VTV 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. VTV is a passively managed fund by Vanguard that tracks the performance of the MSCI US Prime Market Value Index. It was launched on Jan 26, 2004. Both JQUA and VTV 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 VTV.
Performance
JQUA vs. VTV - Performance Comparison
Returns By Period
In the year-to-date period, JQUA achieves a 21.77% return, which is significantly higher than VTV's 20.03% return.
JQUA
21.77%
0.33%
10.88%
28.63%
15.55%
N/A
VTV
20.03%
-0.88%
9.36%
27.80%
11.54%
10.43%
Key characteristics
| JQUA | VTV | |
|---|---|---|
| Sharpe Ratio | 2.62 | 2.77 |
| Sortino Ratio | 3.62 | 3.90 |
| Omega Ratio | 1.47 | 1.50 |
| Calmar Ratio | 4.67 | 5.54 |
| Martin Ratio | 15.81 | 17.72 |
| Ulcer Index | 1.87% | 1.59% |
| Daily Std Dev | 11.28% | 10.17% |
| Max Drawdown | -32.92% | -59.27% |
| Current Drawdown | -1.97% | -1.62% |
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JQUA vs. VTV - Expense Ratio Comparison
JQUA has a 0.12% expense ratio, which is higher than VTV's 0.04% expense ratio. However, 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 VTV is 0.79, 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. VTV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Quality Factor ETF (JQUA) and Vanguard Value ETF (VTV). 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. VTV - Dividend Comparison
JQUA's dividend yield for the trailing twelve months is around 1.17%, less than VTV's 2.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JQUA JPMorgan U.S. Quality Factor ETF | 1.17% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% |
VTV Vanguard Value ETF | 2.25% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% | 2.22% | 2.21% |
Drawdowns
JQUA vs. VTV - Drawdown Comparison
The maximum JQUA drawdown since its inception was -32.92%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for JQUA and VTV. For additional features, visit the drawdowns tool.
Volatility
JQUA vs. VTV - Volatility Comparison
JPMorgan U.S. Quality Factor ETF (JQUA) and Vanguard Value ETF (VTV) have volatilities of 3.54% and 3.58%, 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.