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KIE vs. JQUA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

KIE vs. JQUA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Insurance ETF (KIE) and JPMorgan U.S. Quality Factor ETF (JQUA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
20.38%
13.97%
KIE
JQUA

Returns By Period

In the year-to-date period, KIE achieves a 34.87% return, which is significantly higher than JQUA's 23.70% return.


KIE

YTD

34.87%

1M

5.16%

6M

20.38%

1Y

36.80%

5Y (annualized)

13.63%

10Y (annualized)

12.57%

JQUA

YTD

23.70%

1M

2.86%

6M

13.97%

1Y

30.25%

5Y (annualized)

15.85%

10Y (annualized)

N/A

Key characteristics


KIEJQUA
Sharpe Ratio2.592.71
Sortino Ratio3.423.74
Omega Ratio1.451.49
Calmar Ratio4.504.85
Martin Ratio14.5616.39
Ulcer Index2.58%1.87%
Daily Std Dev14.51%11.33%
Max Drawdown-75.30%-32.92%
Current Drawdown0.00%-0.41%

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KIE vs. JQUA - Expense Ratio Comparison

KIE has a 0.35% expense ratio, which is higher than JQUA's 0.12% expense ratio.


KIE
SPDR S&P Insurance ETF
Expense ratio chart for KIE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for JQUA: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Correlation

-0.50.00.51.00.6

The correlation between KIE and JQUA is 0.65, 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.

Risk-Adjusted Performance

KIE vs. JQUA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Insurance ETF (KIE) and JPMorgan U.S. Quality Factor ETF (JQUA). 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.


Sharpe ratio
The chart of Sharpe ratio for KIE, currently valued at 2.59, compared to the broader market0.002.004.002.592.71
The chart of Sortino ratio for KIE, currently valued at 3.42, compared to the broader market-2.000.002.004.006.008.0010.0012.003.423.74
The chart of Omega ratio for KIE, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.49
The chart of Calmar ratio for KIE, currently valued at 4.50, compared to the broader market0.005.0010.0015.004.504.85
The chart of Martin ratio for KIE, currently valued at 14.56, compared to the broader market0.0020.0040.0060.0080.00100.0014.5616.39
KIE
JQUA

The current KIE Sharpe Ratio is 2.59, which is comparable to the JQUA Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of KIE and JQUA, 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
2.59
2.71
KIE
JQUA

Dividends

KIE vs. JQUA - Dividend Comparison

KIE's dividend yield for the trailing twelve months is around 1.26%, more than JQUA's 1.15% yield.


TTM20232022202120202019201820172016201520142013
KIE
SPDR S&P Insurance ETF
1.26%1.45%1.90%1.95%1.85%1.76%1.83%1.56%1.55%1.65%1.81%1.38%
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%

Drawdowns

KIE vs. JQUA - Drawdown Comparison

The maximum KIE drawdown since its inception was -75.30%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for KIE and JQUA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.41%
KIE
JQUA

Volatility

KIE vs. JQUA - Volatility Comparison

SPDR S&P Insurance ETF (KIE) has a higher volatility of 6.00% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 3.63%. This indicates that KIE's price experiences larger fluctuations and is considered to be riskier than JQUA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
6.00%
3.63%
KIE
JQUA