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JUST vs. QUAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JUSTQUAL
YTD Return20.55%21.11%
1Y Return32.45%32.50%
3Y Return (Ann)7.85%8.35%
5Y Return (Ann)14.68%14.74%
Sharpe Ratio2.852.69
Sortino Ratio3.773.70
Omega Ratio1.531.49
Calmar Ratio3.814.41
Martin Ratio17.3016.91
Ulcer Index1.95%1.99%
Daily Std Dev11.83%12.51%
Max Drawdown-33.83%-34.06%
Current Drawdown-2.83%-3.44%

Correlation

-0.50.00.51.01.0

The correlation between JUST and QUAL is 0.97, 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.

Performance

JUST vs. QUAL - Performance Comparison

The year-to-date returns for both investments are quite close, with JUST having a 20.55% return and QUAL slightly higher at 21.11%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.09%
10.20%
JUST
QUAL

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JUST vs. QUAL - Expense Ratio Comparison

JUST 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%.


JUST
Goldman Sachs JUST U.S. Large Cap Equity ETF
Expense ratio chart for JUST: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for QUAL: 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%

Risk-Adjusted Performance

JUST vs. QUAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) 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.


JUST
Sharpe ratio
The chart of Sharpe ratio for JUST, currently valued at 2.85, compared to the broader market0.002.004.002.85
Sortino ratio
The chart of Sortino ratio for JUST, currently valued at 3.77, compared to the broader market0.005.0010.003.77
Omega ratio
The chart of Omega ratio for JUST, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for JUST, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for JUST, currently valued at 17.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.30
QUAL
Sharpe ratio
The chart of Sharpe ratio for QUAL, currently valued at 2.69, compared to the broader market0.002.004.002.69
Sortino ratio
The chart of Sortino ratio for QUAL, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for QUAL, currently valued at 1.49, compared to the broader market1.001.502.002.503.003.501.49
Calmar ratio
The chart of Calmar ratio for QUAL, currently valued at 4.41, compared to the broader market0.005.0010.0015.004.41
Martin ratio
The chart of Martin ratio for QUAL, currently valued at 16.91, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.91

JUST vs. QUAL - Sharpe Ratio Comparison

The current JUST Sharpe Ratio is 2.85, which is comparable to the QUAL Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of JUST and QUAL, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.85
2.69
JUST
QUAL

Dividends

JUST vs. QUAL - Dividend Comparison

JUST's dividend yield for the trailing twelve months is around 1.17%, more than QUAL's 1.02% yield.


TTM20232022202120202019201820172016201520142013
JUST
Goldman Sachs JUST U.S. Large Cap Equity ETF
1.17%1.37%1.51%1.07%1.36%1.86%1.11%0.00%0.00%0.00%0.00%0.00%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%

Drawdowns

JUST vs. QUAL - Drawdown Comparison

The maximum JUST drawdown since its inception was -33.83%, roughly equal to the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for JUST and QUAL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.83%
-3.44%
JUST
QUAL

Volatility

JUST vs. QUAL - Volatility Comparison

The current volatility for Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) is 3.03%, while iShares Edge MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.28%. This indicates that JUST experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.03%
3.28%
JUST
QUAL