LRGF vs. JQUA
Compare and contrast key facts about iShares MSCI USA Multifactor ETF (LRGF) and JPMorgan U.S. Quality Factor ETF (JQUA).
LRGF and JQUA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. LRGF is a passively managed fund by iShares that tracks the performance of the MSCI USA Diversified Multi-Factor. It was launched on Apr 30, 2015. 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. Both LRGF and JQUA 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: LRGF or JQUA.
Performance
LRGF vs. JQUA - Performance Comparison
Returns By Period
In the year-to-date period, LRGF achieves a 27.67% return, which is significantly higher than JQUA's 22.06% return.
LRGF
27.67%
1.92%
12.76%
35.78%
14.42%
N/A
JQUA
22.06%
1.10%
11.32%
28.94%
15.55%
N/A
Key characteristics
| LRGF | JQUA | |
|---|---|---|
| Sharpe Ratio | 2.78 | 2.57 |
| Sortino Ratio | 3.74 | 3.56 |
| Omega Ratio | 1.51 | 1.47 |
| Calmar Ratio | 4.11 | 4.58 |
| Martin Ratio | 18.21 | 15.46 |
| Ulcer Index | 1.94% | 1.87% |
| Daily Std Dev | 12.69% | 11.26% |
| Max Drawdown | -36.03% | -32.92% |
| Current Drawdown | -1.31% | -1.73% |
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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%.
Correlation
The correlation between LRGF and JQUA is 0.89, 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
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.
Dividends
LRGF vs. JQUA - Dividend Comparison
LRGF's dividend yield for the trailing twelve months is around 1.20%, more than JQUA's 1.16% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
LRGF iShares MSCI USA Multifactor ETF | 1.20% | 1.50% | 1.78% | 1.06% | 1.35% | 1.76% | 3.27% | 1.68% | 1.56% | 0.84% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.16% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% | 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.
Volatility
LRGF vs. JQUA - Volatility Comparison
iShares MSCI USA Multifactor ETF (LRGF) has a higher volatility of 4.19% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 3.51%. 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.