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

Correlation

The correlation between PSET and JQUA is 0.78, 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.


-0.50.00.51.00.8

Performance

PSET vs. JQUA - Performance Comparison

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

120.00%130.00%140.00%150.00%160.00%170.00%JulyAugustSeptemberOctoberNovemberDecember
154.47%
160.05%
PSET
JQUA

Key characteristics

Sharpe Ratio

PSET:

1.36

JQUA:

2.06

Sortino Ratio

PSET:

1.90

JQUA:

2.82

Omega Ratio

PSET:

1.24

JQUA:

1.38

Calmar Ratio

PSET:

2.08

JQUA:

3.81

Martin Ratio

PSET:

7.57

JQUA:

12.41

Ulcer Index

PSET:

2.77%

JQUA:

1.94%

Daily Std Dev

PSET:

15.44%

JQUA:

11.68%

Max Drawdown

PSET:

-34.74%

JQUA:

-32.92%

Current Drawdown

PSET:

-2.73%

JQUA:

-3.67%

Returns By Period

In the year-to-date period, PSET achieves a 18.70% return, which is significantly lower than JQUA's 22.23% return.


PSET

YTD

18.70%

1M

0.95%

6M

5.75%

1Y

19.31%

5Y*

13.37%

10Y*

N/A

JQUA

YTD

22.23%

1M

0.14%

6M

9.41%

1Y

22.85%

5Y*

14.70%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PSET vs. JQUA - Expense Ratio Comparison

PSET has a 0.15% 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%.


PSET
Principal Quality ETF
Expense ratio chart for PSET: 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%
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

PSET vs. JQUA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Principal Quality ETF (PSET) 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 PSET, currently valued at 1.36, compared to the broader market0.002.004.001.362.06
The chart of Sortino ratio for PSET, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.001.902.82
The chart of Omega ratio for PSET, currently valued at 1.24, compared to the broader market0.501.001.502.002.503.001.241.38
The chart of Calmar ratio for PSET, currently valued at 2.08, compared to the broader market0.005.0010.0015.002.083.81
The chart of Martin ratio for PSET, currently valued at 7.57, compared to the broader market0.0020.0040.0060.0080.00100.007.5712.41
PSET
JQUA

The current PSET Sharpe Ratio is 1.36, which is lower than the JQUA Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of PSET 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.36
2.06
PSET
JQUA

Dividends

PSET vs. JQUA - Dividend Comparison

PSET's dividend yield for the trailing twelve months is around 0.69%, less than JQUA's 0.83% yield.


TTM20232022202120202019201820172016
PSET
Principal Quality ETF
0.69%0.85%1.47%0.89%1.09%1.36%1.33%1.02%1.26%
JQUA
JPMorgan U.S. Quality Factor ETF
0.83%1.22%1.59%1.32%1.44%1.67%2.10%0.39%0.00%

Drawdowns

PSET vs. JQUA - Drawdown Comparison

The maximum PSET drawdown since its inception was -34.74%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for PSET and JQUA. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.73%
-3.67%
PSET
JQUA

Volatility

PSET vs. JQUA - Volatility Comparison

Principal Quality ETF (PSET) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 4.15% and 4.22%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.15%
4.22%
PSET
JQUA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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