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QUAL vs. SQLV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QUAL vs. SQLV

Last updated Aug 4, 2026
Documentation

QUAL (iShares MSCI USA Quality Factor ETF) and SQLV (Royce Quant Small-Cap Quality Value ETF) are both Quality Factor funds. QUAL is passively managed, while SQLV is actively managed. Over the past 5 years, QUAL returned 11.26%/yr vs 8.73%/yr for SQLV. Their 0.58 correlation means they have sometimes moved together and sometimes differently. QUAL charges 0.15%/yr vs 0.60%/yr for SQLV.

Performance

QUAL vs. SQLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Quality Factor ETF (QUAL) and Royce Quant Small-Cap Quality Value ETF (SQLV). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QUAL achieves a 12.08% return, which is significantly lower than SQLV's 26.53% return.

QUAL

1D
1.10%
1M
1.52%
6M
9.27%
YTD
12.08%
1Y
22.77%
3Y*
18.73%
5Y*
11.26%
10Y*
14.16%
ALL TIME*
13.75%

SQLV

1D
2.40%
1M
3.42%
6M
19.47%
YTD
26.53%
1Y
40.94%
3Y*
13.50%
5Y*
8.73%
10Y*
—
ALL TIME*
10.20%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

QUAL

iShares MSCI USA Quality Factor ETF
$217.13M$238.90M$384.89M

SQLV

Royce Quant Small-Cap Quality Value ETF
$1.21M$631.84K$254.10K

QUAL vs. SQLV - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
QUAL
iShares MSCI USA Quality Factor ETF		12.08%12.65%22.29%30.88%-20.50%26.94%17.04%33.89%-5.70%11.65%
SQLV
Royce Quant Small-Cap Quality Value ETF		26.53%2.50%4.76%21.21%-12.86%37.14%7.13%17.41%-10.55%8.84%

Correlation

The correlation between QUAL and SQLV is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.67

Correlation (3Y)
Balances recent behavior with more history.

0.67

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.70

Correlation (All Time)
Calculated using the full available price history since Jul 13, 2017

0.58

The correlation between QUAL and SQLV shifts across timeframes, from 0.58 (all time) to 0.70 (5 years), reflecting how their relationship changes across market environments.

QUAL vs. SQLV - Sectors Allocation Comparison

Sectors
QUAL
SQLV

Technology

40.2%
15.9%

Financial Services

10.9%
19.0%

Communication Services

10.3%
6.0%

Healthcare

9.2%
18.7%

Consumer Cyclical

9.0%
13.8%

Industrials

7.4%
10.3%

Consumer Defensive

4.3%
7.4%

Energy

2.9%
4.0%

Utilities

2.1%
0.2%

Basic Materials

1.9%
3.8%

Real Estate

1.7%
0.9%

Technology

QUAL
40.2%
SQLV
15.9%

Financial Services

QUAL
10.9%
SQLV
19.0%

Communication Services

QUAL
10.3%
SQLV
6.0%

Healthcare

QUAL
9.2%
SQLV
18.7%

Consumer Cyclical

QUAL
9.0%
SQLV
13.8%

Industrials

QUAL
7.4%
SQLV
10.3%

Consumer Defensive

QUAL
4.3%
SQLV
7.4%

Energy

QUAL
2.9%
SQLV
4.0%

Utilities

QUAL
2.1%
SQLV
0.2%

Basic Materials

QUAL
1.9%
SQLV
3.8%

Real Estate

QUAL
1.7%
SQLV
0.9%

Compare stocks, funds, or ETFs

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

iShares MSCI USA Quality Factor ETF

Royce Quant Small-Cap Quality Value ETF

Often compared with QUAL:
QUAL vs. SPHQQUAL vs. SPYQUAL vs. MTUMQUAL vs. USMVQUAL vs. VOOQUAL vs. IVVQUAL vs. SCHD
Often compared with SQLV:
SQLV vs. RYSEXSQLV vs. CALFSQLV vs. XMESQLV vs. ROSCSQLV vs. QQQSQLV vs. VOOSQLV vs. XSVM

Return for Risk

QUAL vs. SQLV — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
QUAL
QUAL Risk / Return Rank: 7878
Overall Rank
QUAL Sharpe Ratio Rank: 8080
Sharpe Ratio Rank
QUAL Sortino Ratio Rank: 8080
Sortino Ratio Rank
QUAL Omega Ratio Rank: 7878
Omega Ratio Rank
QUAL Calmar Ratio Rank: 7171
Calmar Ratio Rank
QUAL Martin Ratio Rank: 8383
Martin Ratio Rank
SQLV
SQLV Risk / Return Rank: 9090
Overall Rank
SQLV Sharpe Ratio Rank: 9191
Sharpe Ratio Rank
SQLV Sortino Ratio Rank: 9292
Sortino Ratio Rank
SQLV Omega Ratio Rank: 8787
Omega Ratio Rank
SQLV Calmar Ratio Rank: 9393
Calmar Ratio Rank
SQLV Martin Ratio Rank: 8989
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

QUAL vs. SQLV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) and Royce Quant Small-Cap Quality Value ETF (SQLV). 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.

QUALSQLVDifference
Sharpe ratioReturn per unit of total volatility
1.86
2.38

-0.52

Sortino ratioReturn per unit of downside risk
2.63
3.46

-0.83

Omega ratioGain probability vs. loss probability

1.33

1.40

-0.07

Calmar ratioReturn relative to maximum drawdown

2.53

4.65

-2.12

Martin ratioReturn relative to average drawdown

11.33

14.61

-3.28

QUAL vs. SQLV - Sharpe Ratio Comparison

The current QUAL Sharpe Ratio is 1.86, which is comparable to the SQLV Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of QUAL and SQLV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

QUAL vs. SQLV - Drawdown Comparison

The maximum QUAL drawdown since its inception was -34.06%, smaller than the maximum SQLV drawdown of -48.34%. Use the drawdown chart below to compare losses from any high point for QUAL and SQLV.

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Drawdown Indicators

QUALSQLVDifference

Max Drawdown

Largest peak-to-trough decline

-34.06%

-48.34%

+14.28%

Max Drawdown (1Y)

Largest decline over 1 year

-9.03%

-8.84%

-0.19%

Max Drawdown (3Y)

Largest decline over 3 years

-18.00%

-26.86%

+8.86%

Max Drawdown (5Y)

Largest decline over 5 years

-28.23%

-26.86%

-1.37%

Max Drawdown (10Y)

Largest decline over 10 years

-34.06%

—

—

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-4.07%

-8.80%

+4.73%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.01%

2.81%

-0.80%

Volatility

QUAL vs. SQLV - Volatility Comparison

The current volatility for iShares MSCI USA Quality Factor ETF (QUAL) is 3.07%, while Royce Quant Small-Cap Quality Value ETF (SQLV) has a volatility of 4.92%. This indicates that QUAL experiences smaller price fluctuations and is considered to be less risky than SQLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QUALSQLVDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.07%

4.92%

-1.85%

Volatility (6M)

Calculated over the trailing 6-month period

9.70%

11.82%

-2.12%

Volatility (1Y)

Calculated over the trailing 1-year period

12.33%

17.32%

-4.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.39%

20.90%

-3.51%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.10%

23.25%

-5.15%

QUAL vs. SQLV - Expense Ratio Comparison

QUAL has a 0.15% expense ratio, which is lower than SQLV's 0.60% expense ratio.

Dividends

QUAL vs. SQLV - Dividend Comparison

QUAL's dividend yield for the trailing twelve months is around 0.85%, less than SQLV's 0.93% yield.

PositionTTM20252024202320222021202020192018201720162015
QUAL
iShares MSCI USA Quality Factor ETF		0.85%0.94%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%
SQLV
Royce Quant Small-Cap Quality Value ETF		0.93%1.15%1.11%1.09%1.24%1.12%1.22%1.20%1.08%0.40%0.00%0.00%

Frequently Asked Questions

QUAL and SQLV have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SQLV has higher volatility (4.92%) compared to QUAL (3.07%). In terms of maximum drawdown, QUAL dropped -34.06% vs SQLV's -48.34%.

On 5-year performance, QUAL leads with 11.26% vs 8.73% for SQLV. On fees, QUAL is cheaper at 0.15% per year. On volatility, QUAL has been the lower-risk option at 3.07%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, QUAL has performed better with a 11.26% return vs 8.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QUAL is cheaper with a 0.15% expense ratio, compared with 0.60% for SQLV.

SQLV has the higher dividend yield at 0.93%, compared with 0.85% for QUAL.

They also come from different issuers: iShares and Franklin Templeton. Their fees differ too: 0.15% for QUAL and 0.60% for SQLV.

SQLV currently has the higher Sharpe Ratio (2.38 vs 1.86), 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.

Portfolio Optimizer

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