QUAL vs. USMV
Compare and contrast key facts about iShares Edge MSCI USA Quality Factor ETF (QUAL) and iShares Edge MSCI Min Vol USA ETF (USMV).
QUAL and USMV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Quality Index. It was launched on Jul 16, 2013. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. Both QUAL and USMV 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: QUAL or USMV.
Performance
QUAL vs. USMV - Performance Comparison
Returns By Period
In the year-to-date period, QUAL achieves a 23.51% return, which is significantly higher than USMV's 18.56% return. Over the past 10 years, QUAL has outperformed USMV with an annualized return of 13.07%, while USMV has yielded a comparatively lower 10.66% annualized return.
QUAL
23.51%
-1.11%
9.06%
29.35%
14.88%
13.07%
USMV
18.56%
-1.62%
9.80%
24.02%
9.28%
10.66%
Key characteristics
| QUAL | USMV | |
|---|---|---|
| Sharpe Ratio | 2.41 | 2.88 |
| Sortino Ratio | 3.33 | 4.04 |
| Omega Ratio | 1.44 | 1.54 |
| Calmar Ratio | 3.98 | 5.27 |
| Martin Ratio | 15.10 | 18.63 |
| Ulcer Index | 2.01% | 1.31% |
| Daily Std Dev | 12.60% | 8.48% |
| Max Drawdown | -34.06% | -33.10% |
| Current Drawdown | -2.18% | -2.25% |
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QUAL vs. USMV - Expense Ratio Comparison
Both QUAL and USMV have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between QUAL and USMV is 0.86, 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.
Risk-Adjusted Performance
QUAL vs. USMV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Quality Factor ETF (QUAL) and iShares Edge MSCI Min Vol USA ETF (USMV). 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
QUAL vs. USMV - Dividend Comparison
QUAL's dividend yield for the trailing twelve months is around 1.00%, less than USMV's 1.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.00% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.64% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
Drawdowns
QUAL vs. USMV - Drawdown Comparison
The maximum QUAL drawdown since its inception was -34.06%, roughly equal to the maximum USMV drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for QUAL and USMV. For additional features, visit the drawdowns tool.
Volatility
QUAL vs. USMV - Volatility Comparison
iShares Edge MSCI USA Quality Factor ETF (QUAL) has a higher volatility of 3.79% compared to iShares Edge MSCI Min Vol USA ETF (USMV) at 3.09%. This indicates that QUAL's price experiences larger fluctuations and is considered to be riskier than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.