MXI vs. SPHQ
Compare and contrast key facts about iShares Global Materials ETF (MXI) and Invesco S&P 500® Quality ETF (SPHQ).
MXI and SPHQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MXI is a passively managed fund by iShares that tracks the performance of the S&P Global Materials Index. It was launched on Sep 21, 2006. SPHQ is a passively managed fund by Invesco that tracks the performance of the S&P 500 High Quality Rankings Index. It was launched on Dec 6, 2005. Both MXI and SPHQ 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: MXI or SPHQ.
Key characteristics
| MXI | SPHQ | |
|---|---|---|
| YTD Return | -2.00% | 26.84% |
| 1Y Return | 7.05% | 33.24% |
| 3Y Return (Ann) | 1.27% | 10.65% |
| 5Y Return (Ann) | 8.30% | 15.99% |
| 10Y Return (Ann) | 6.69% | 13.50% |
| Sharpe Ratio | 0.50 | 2.79 |
| Sortino Ratio | 0.78 | 3.87 |
| Omega Ratio | 1.09 | 1.51 |
| Calmar Ratio | 0.74 | 5.37 |
| Martin Ratio | 1.68 | 20.87 |
| Ulcer Index | 4.38% | 1.59% |
| Daily Std Dev | 14.81% | 11.89% |
| Max Drawdown | -68.44% | -57.83% |
| Current Drawdown | -9.93% | -0.88% |
Correlation
The correlation between MXI and SPHQ is 0.74, 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
MXI vs. SPHQ - Performance Comparison
In the year-to-date period, MXI achieves a -2.00% return, which is significantly lower than SPHQ's 26.84% return. Over the past 10 years, MXI has underperformed SPHQ with an annualized return of 6.69%, while SPHQ has yielded a comparatively higher 13.50% annualized return. 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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MXI vs. SPHQ - Expense Ratio Comparison
MXI has a 0.46% expense ratio, which is higher than SPHQ's 0.15% expense ratio.
Risk-Adjusted Performance
MXI vs. SPHQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Materials ETF (MXI) and Invesco S&P 500® Quality ETF (SPHQ). 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
MXI vs. SPHQ - Dividend Comparison
MXI's dividend yield for the trailing twelve months is around 2.76%, more than SPHQ's 1.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MXI iShares Global Materials ETF | 2.76% | 2.92% | 4.84% | 3.51% | 1.21% | 3.64% | 2.77% | 1.76% | 1.31% | 3.64% | 2.33% | 2.14% |
SPHQ Invesco S&P 500® Quality ETF | 1.14% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
Drawdowns
MXI vs. SPHQ - Drawdown Comparison
The maximum MXI drawdown since its inception was -68.44%, which is greater than SPHQ's maximum drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for MXI and SPHQ. For additional features, visit the drawdowns tool.
Volatility
MXI vs. SPHQ - Volatility Comparison
iShares Global Materials ETF (MXI) has a higher volatility of 4.29% compared to Invesco S&P 500® Quality ETF (SPHQ) at 3.23%. This indicates that MXI's price experiences larger fluctuations and is considered to be riskier than SPHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.