JREU.L vs. QUAL
Compare and contrast key facts about JPMorgan US Research Enhanced Index Equity UCITS ETF - USD (acc) (JREU.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL).
JREU.L and QUAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JREU.L is a passively managed fund by JPMorgan that tracks the performance of the Russell 1000 TR USD. It was launched on Oct 10, 2018. QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Quality Index. It was launched on Jul 16, 2013. Both JREU.L and QUAL 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: JREU.L or QUAL.
Key characteristics
| JREU.L | QUAL | |
|---|---|---|
| YTD Return | 26.48% | 25.96% |
| 1Y Return | 38.70% | 36.30% |
| 3Y Return (Ann) | 10.30% | 9.71% |
| 5Y Return (Ann) | 16.88% | 15.51% |
| Sharpe Ratio | 3.25 | 2.90 |
| Sortino Ratio | 4.51 | 3.98 |
| Omega Ratio | 1.62 | 1.53 |
| Calmar Ratio | 4.95 | 4.81 |
| Martin Ratio | 21.78 | 18.41 |
| Ulcer Index | 1.76% | 1.99% |
| Daily Std Dev | 11.75% | 12.68% |
| Max Drawdown | -34.56% | -34.06% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between JREU.L and QUAL is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
JREU.L vs. QUAL - Performance Comparison
The year-to-date returns for both stocks are quite close, with JREU.L having a 26.48% return and QUAL slightly lower at 25.96%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JREU.L vs. QUAL - Expense Ratio Comparison
JREU.L has a 0.20% expense ratio, which is higher than QUAL's 0.15% 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%.
Risk-Adjusted Performance
JREU.L vs. QUAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan US Research Enhanced Index Equity UCITS ETF - USD (acc) (JREU.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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
JREU.L vs. QUAL - Dividend Comparison
JREU.L has not paid dividends to shareholders, while QUAL's dividend yield for the trailing twelve months is around 0.98%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JREU.L JPMorgan US Research Enhanced Index Equity UCITS ETF - USD (acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.98% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
Drawdowns
JREU.L vs. QUAL - Drawdown Comparison
The maximum JREU.L drawdown since its inception was -34.56%, roughly equal to the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for JREU.L and QUAL. For additional features, visit the drawdowns tool.
Volatility
JREU.L vs. QUAL - Volatility Comparison
JPMorgan US Research Enhanced Index Equity UCITS ETF - USD (acc) (JREU.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL) have volatilities of 3.74% and 3.79%, 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.