QUS vs. JQUA
Compare and contrast key facts about SPDR MSCI USA StrategicFactors ETF (QUS) and JPMorgan U.S. Quality Factor ETF (JQUA).
QUS and JQUA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QUS is a passively managed fund by State Street that tracks the performance of the MSCI USA Factor Mix A-Series Capped (USD). It was launched on Apr 16, 2015. JQUA is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Quality Factor Index. It was launched on Nov 8, 2017. Both QUS and JQUA 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: QUS or JQUA.
Key characteristics
| QUS | JQUA | |
|---|---|---|
| YTD Return | 23.29% | 23.68% |
| 1Y Return | 30.85% | 31.78% |
| 3Y Return (Ann) | 9.64% | 11.21% |
| 5Y Return (Ann) | 13.79% | 15.83% |
| Sharpe Ratio | 3.32 | 3.02 |
| Sortino Ratio | 4.66 | 4.18 |
| Omega Ratio | 1.63 | 1.55 |
| Calmar Ratio | 5.88 | 5.41 |
| Martin Ratio | 21.93 | 18.45 |
| Ulcer Index | 1.50% | 1.85% |
| Daily Std Dev | 9.91% | 11.30% |
| Max Drawdown | -33.78% | -32.92% |
| Current Drawdown | -0.39% | -0.42% |
Correlation
The correlation between QUS and JQUA is 0.90, 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.
Performance
QUS vs. JQUA - Performance Comparison
The year-to-date returns for both investments are quite close, with QUS having a 23.29% return and JQUA slightly higher at 23.68%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
QUS vs. JQUA - Expense Ratio Comparison
QUS 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%.
Risk-Adjusted Performance
QUS vs. JQUA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI USA StrategicFactors ETF (QUS) 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.
Dividends
QUS vs. JQUA - Dividend Comparison
QUS's dividend yield for the trailing twelve months is around 1.35%, more than JQUA's 1.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
QUS SPDR MSCI USA StrategicFactors ETF | 1.35% | 1.57% | 1.68% | 1.27% | 1.73% | 1.81% | 2.12% | 1.86% | 2.07% | 1.48% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.15% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% | 0.00% | 0.00% |
Drawdowns
QUS vs. JQUA - Drawdown Comparison
The maximum QUS drawdown since its inception was -33.78%, roughly equal to the maximum JQUA drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for QUS and JQUA. For additional features, visit the drawdowns tool.
Volatility
QUS vs. JQUA - Volatility Comparison
SPDR MSCI USA StrategicFactors ETF (QUS) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 3.20% and 3.24%, 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.