QUAL vs. MGK

Last updated Jun 14, 2026

QUAL (iShares MSCI USA Quality Factor ETF) and MGK (Vanguard Mega Cap Growth ETF) are both exchange-traded funds - QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index, while MGK is a Large Cap Growth Equities fund tracking the CRSP US Mega Cap Growth Index. Both are passively managed. Over the past 10 years, QUAL returned 14.46%/yr vs 18.85%/yr for MGK. Their correlation of 0.90 suggests significant overlap in exposure. QUAL charges 0.15%/yr vs 0.05%/yr for MGK.

Performance

QUAL vs. MGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Quality Factor ETF (QUAL) and Vanguard Mega Cap Growth ETF (MGK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QUAL achieves a 9.44% return, which is significantly higher than MGK's 5.33% return. Over the past 10 years, QUAL has underperformed MGK with an annualized return of 14.46%, while MGK has yielded a comparatively higher 18.85% annualized return.

QUAL

• 1D: 0.47%
• 1M: 3.07%
• YTD: 9.44%
• 6M: 9.29%
• 1Y: 22.87%
• 3Y*: 19.30%
• 5Y*: 11.97%
• 10Y*: 14.46%

MGK

• 1D: 0.22%
• 1M: -1.87%
• YTD: 5.33%
• 6M: 6.21%
• 1Y: 24.77%
• 3Y*: 24.17%
• 5Y*: 14.87%
• 10Y*: 18.85%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QUAL vs. MGK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QUAL iShares MSCI USA Quality Factor ETF	9.44%	12.65%	22.29%	30.88%	-20.50%	26.94%	17.04%	33.89%	-5.70%	22.26%
MGK Vanguard Mega Cap Growth ETF	5.33%	20.67%	32.94%	51.67%	-33.59%	28.58%	41.01%	37.38%	-2.91%	29.49%

Correlation

The correlation between QUAL and MGK is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013	0.90

The correlation between QUAL and MGK has been stable across timeframes, ranging from 0.81 to 0.90 - a consistent structural relationship.

QUAL vs. MGK - Sectors Allocation Comparison

Sectors	QUAL	MGK
Technology	38.8%	56.1%
Communication Services	11.8%	17.3%
Financial Services	10.8%	4.5%
Consumer Cyclical	9.3%	12.8%
Healthcare	8.7%	4.5%
Industrials	7.2%	1.1%
Consumer Defensive	4.4%	0.4%
Energy	3.2%	-
Utilities	2.1%	1.2%
Basic Materials	1.9%	0.7%
Real Estate	1.8%	1.3%

Return for Risk

QUAL vs. MGK — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QUAL

QUAL Risk / Return Rank: 59
QUAL Sharpe Ratio Rank: 59
QUAL Sortino Ratio Rank: 60
QUAL Omega Ratio Rank: 56
QUAL Calmar Ratio Rank: 53
QUAL Martin Ratio Rank: 67

MGK

MGK Risk / Return Rank: 39
MGK Sharpe Ratio Rank: 44
MGK Sortino Ratio Rank: 42
MGK Omega Ratio Rank: 42
MGK Calmar Ratio Rank: 31
MGK Martin Ratio Rank: 35

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QUAL vs. MGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) and Vanguard Mega Cap Growth ETF (MGK). 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	MGK	Difference
Sharpe ratio: Return per unit of total volatility	1.74	1.37	+0.36
Sortino ratio: Return per unit of downside risk	2.46	1.89	+0.57
Omega ratio: Gain probability vs. loss probability	1.31	1.24	+0.06
Calmar ratio: Return relative to maximum drawdown	2.32	1.37	+0.95
Martin ratio: Return relative to average drawdown	10.60	4.65	+5.95

QUAL vs. MGK - Sharpe Ratio Comparison

The current QUAL Sharpe Ratio is 1.74, which is comparable to the MGK Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of QUAL and MGK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QUAL vs. MGK - Drawdown Comparison

The maximum QUAL drawdown since its inception was -34.06%, smaller than the maximum MGK drawdown of -48.43%. Use the drawdown chart below to compare losses from any high point for QUAL and MGK.

Drawdown Indicators

	QUAL	MGK	Difference
Max Drawdown Largest peak-to-trough decline	-34.06%	-48.43%	+14.37%
Max Drawdown (1Y) Largest decline over 1 year	-9.03%	-16.85%	+7.82%
Max Drawdown (3Y) Largest decline over 3 years	-18.00%	-23.36%	+5.36%
Max Drawdown (5Y) Largest decline over 5 years	-28.23%	-36.01%	+7.78%
Max Drawdown (10Y) Largest decline over 10 years	-34.06%	-36.01%	+1.95%
Current Drawdown Current decline from peak	-0.19%	-5.63%	+5.44%
Average Drawdown Average peak-to-trough decline	-4.10%	-7.58%	+3.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	4.97%	-2.98%

Volatility

QUAL vs. MGK - Volatility Comparison

The current volatility for iShares MSCI USA Quality Factor ETF (QUAL) is 3.63%, while Vanguard Mega Cap Growth ETF (MGK) has a volatility of 5.96%. This indicates that QUAL experiences smaller price fluctuations and is considered to be less risky than MGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QUAL	MGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.63%	5.96%	-2.33%
Volatility (6M) Calculated over the trailing 6-month period	9.43%	13.29%	-3.86%
Volatility (1Y) Calculated over the trailing 1-year period	12.10%	16.87%	-4.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.36%	22.72%	-5.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.11%	21.93%	-3.82%

QUAL vs. MGK - Expense Ratio Comparison

QUAL has a 0.15% expense ratio, which is higher than MGK's 0.05% 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%.

Dividends

QUAL vs. MGK - Dividend Comparison

QUAL's dividend yield for the trailing twelve months is around 0.87%, more than MGK's 0.33% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MGK Vanguard Mega Cap Growth ETF	0.33%	0.35%	0.43%	0.50%	0.70%	0.41%	0.65%	0.85%	1.12%	1.23%	1.53%	1.43%
QUAL iShares MSCI USA Quality Factor ETF	0.87%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%

Frequently Asked Questions

Can I hold both QUAL and MGK in my portfolio?

QUAL and MGK have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QUAL or MGK?

MGK has higher volatility (5.96%) compared to QUAL (3.63%). In terms of maximum drawdown, QUAL dropped -34.06% vs MGK's -48.43%.

Which ETF is better, QUAL or MGK?

On 10-year performance, MGK leads with 18.85% vs 14.46% for QUAL. On fees, MGK is cheaper at 0.05% per year. On volatility, QUAL has been the lower-risk option at 3.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QUAL or MGK?

Over the 10-year period, MGK has performed better with a 18.85% return vs 14.46%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QUAL or MGK?

MGK is cheaper with a 0.05% expense ratio, compared with 0.15% for QUAL.

Which ETF pays a higher dividend yield, QUAL or MGK?

QUAL has the higher dividend yield at 0.87%, compared with 0.33% for MGK.

What is the main difference between QUAL and MGK?

QUAL is categorized as Large Cap Blend Equities, while MGK is Large Cap Growth Equities. QUAL tracks MSCI USA Sector Neutral Quality Index, while MGK tracks CRSP US Mega Cap Growth Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.15% for QUAL and 0.05% for MGK.

Which has better risk-adjusted returns?

QUAL currently has the higher Sharpe Ratio (1.74 vs 1.37), 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.