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

Key characteristics


LRGFJQUA
YTD Return22.73%18.37%
1Y Return35.61%30.22%
3Y Return (Ann)10.82%9.87%
5Y Return (Ann)13.75%15.15%
Sharpe Ratio3.123.00
Sortino Ratio4.174.16
Omega Ratio1.581.55
Calmar Ratio4.615.40
Martin Ratio20.6618.52
Ulcer Index1.92%1.84%
Daily Std Dev12.70%11.37%
Max Drawdown-36.03%-32.92%
Current Drawdown-2.44%-2.60%

Correlation

-0.50.00.51.00.9

The correlation between LRGF and JQUA is 0.88, 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

LRGF vs. JQUA - Performance Comparison

In the year-to-date period, LRGF achieves a 22.73% return, which is significantly higher than JQUA's 18.37% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


90.00%100.00%110.00%120.00%130.00%140.00%150.00%160.00%JuneJulyAugustSeptemberOctoberNovember
114.98%
151.85%
LRGF
JQUA

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LRGF vs. JQUA - Expense Ratio Comparison

LRGF has a 0.20% expense ratio, which is higher than JQUA's 0.12% 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%.


LRGF
iShares MSCI USA Multifactor ETF
Expense ratio chart for LRGF: 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 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%

Risk-Adjusted Performance

LRGF vs. JQUA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Multifactor ETF (LRGF) 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.


LRGF
Sharpe ratio
The chart of Sharpe ratio for LRGF, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Sortino ratio
The chart of Sortino ratio for LRGF, currently valued at 4.17, compared to the broader market0.005.0010.004.17
Omega ratio
The chart of Omega ratio for LRGF, currently valued at 1.58, compared to the broader market1.001.502.002.503.003.501.58
Calmar ratio
The chart of Calmar ratio for LRGF, currently valued at 4.61, compared to the broader market0.005.0010.0015.0020.004.61
Martin ratio
The chart of Martin ratio for LRGF, currently valued at 20.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.66
JQUA
Sharpe ratio
The chart of Sharpe ratio for JQUA, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Sortino ratio
The chart of Sortino ratio for JQUA, currently valued at 4.16, compared to the broader market0.005.0010.004.16
Omega ratio
The chart of Omega ratio for JQUA, currently valued at 1.55, compared to the broader market1.001.502.002.503.003.501.55
Calmar ratio
The chart of Calmar ratio for JQUA, currently valued at 5.40, compared to the broader market0.005.0010.0015.0020.005.40
Martin ratio
The chart of Martin ratio for JQUA, currently valued at 18.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.52

LRGF vs. JQUA - Sharpe Ratio Comparison

The current LRGF Sharpe Ratio is 3.12, which is comparable to the JQUA Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of LRGF 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
3.12
3.00
LRGF
JQUA

Dividends

LRGF vs. JQUA - Dividend Comparison

LRGF's dividend yield for the trailing twelve months is around 1.25%, more than JQUA's 1.20% yield.


TTM202320222021202020192018201720162015
LRGF
iShares MSCI USA Multifactor ETF
1.25%1.49%1.78%1.05%1.35%1.76%3.27%1.68%1.56%0.83%
JQUA
JPMorgan U.S. Quality Factor ETF
1.20%1.22%1.60%1.32%1.44%1.67%2.10%0.40%0.00%0.00%

Drawdowns

LRGF vs. JQUA - Drawdown Comparison

The maximum LRGF drawdown since its inception was -36.03%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for LRGF and JQUA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.44%
-2.60%
LRGF
JQUA

Volatility

LRGF vs. JQUA - Volatility Comparison

iShares MSCI USA Multifactor ETF (LRGF) has a higher volatility of 3.20% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 2.91%. This indicates that LRGF'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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.20%
2.91%
LRGF
JQUA