QUAL vs. ^GSPC
QUAL (iShares MSCI USA Quality Factor ETF) is Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, QUAL returned 14.39%/yr vs 13.53%/yr for ^GSPC. With a 0.97 correlation, they move nearly in lockstep.
Performance
QUAL vs. ^GSPC - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, QUAL achieves a 8.93% return, which is significantly higher than ^GSPC's 8.02% return. Over the past 10 years, QUAL has outperformed ^GSPC with an annualized return of 14.39%, while ^GSPC has yielded a comparatively lower 13.53% annualized return.
QUAL
- 1D
- 1.68%
- 1M
- 2.62%
- YTD
- 8.93%
- 6M
- 7.97%
- 1Y
- 20.75%
- 3Y*
- 19.36%
- 5Y*
- 11.86%
- 10Y*
- 14.39%
^GSPC
- 1D
- 1.75%
- 1M
- -0.09%
- YTD
- 8.02%
- 6M
- 7.15%
- 1Y
- 22.78%
- 3Y*
- 19.45%
- 5Y*
- 11.73%
- 10Y*
- 13.53%
QUAL vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares MSCI USA Quality Factor ETF | 8.93% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 33.89% | -5.70% | 22.26% |
^GSPC S&P 500 Index | 8.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between QUAL and ^GSPC is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.97 |
The correlation between QUAL and ^GSPC has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
QUAL vs. ^GSPC — Risk / Return Rank
QUAL
^GSPC
QUAL vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) and S&P 500 Index (^GSPC). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| QUAL | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.13 | ||
| Sortino ratioReturn per unit of downside risk | -0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.34 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.31 | 2.52 | -0.21 |
| Martin ratioReturn relative to average drawdown | 10.45 | 11.31 | -0.86 |
Loading charts...
Drawdowns
QUAL vs. ^GSPC - Drawdown Comparison
The maximum QUAL drawdown since its inception was -34.06%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for QUAL and ^GSPC.
Loading charts...
Drawdown Indicators
| QUAL | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.06% | -56.78% | +22.72% |
Max Drawdown (1Y)Largest decline over 1 year | -9.03% | -9.10% | +0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -18.00% | -18.90% | +0.90% |
Max Drawdown (5Y)Largest decline over 5 years | -28.23% | -25.43% | -2.80% |
Max Drawdown (10Y)Largest decline over 10 years | -34.06% | -33.92% | -0.14% |
Current DrawdownCurrent decline from peak | -0.66% | -2.83% | +2.17% |
Average DrawdownAverage peak-to-trough decline | -4.10% | -10.72% | +6.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 2.02% | -0.03% |
Volatility
QUAL vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI USA Quality Factor ETF (QUAL) is 3.61%, while S&P 500 Index (^GSPC) has a volatility of 4.44%. This indicates that QUAL experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| QUAL | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.61% | 4.44% | -0.83% |
Volatility (6M)Calculated over the trailing 6-month period | 9.43% | 9.71% | -0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.10% | 12.38% | -0.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.37% | 16.97% | +0.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.11% | 18.09% | +0.02% |
Frequently Asked Questions
With a correlation of 0.94, QUAL and ^GSPC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^GSPC has higher volatility (4.44%) compared to QUAL (3.61%). In terms of maximum drawdown, QUAL dropped -34.06% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.85 vs 1.72), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
Find the right allocation for QUAL and ^GSPC
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer