SPHQ vs. QUAL
Compare and contrast key facts about Invesco S&P 500® Quality ETF (SPHQ) and iShares Edge MSCI USA Quality Factor ETF (QUAL).
SPHQ and QUAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPHQ is a passively managed fund by Invesco that tracks the performance of the S&P 500 High Quality Rankings Index. It was launched on Dec 6, 2005. 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. Both SPHQ and QUAL 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: SPHQ or QUAL.
Performance
SPHQ vs. QUAL - Performance Comparison
Returns By Period
In the year-to-date period, SPHQ achieves a 26.80% return, which is significantly higher than QUAL's 24.66% return. Both investments have delivered pretty close results over the past 10 years, with SPHQ having a 13.30% annualized return and QUAL not far behind at 13.13%.
SPHQ
26.80%
0.94%
11.37%
31.83%
16.07%
13.30%
QUAL
24.66%
0.39%
10.69%
30.41%
15.02%
13.13%
Key characteristics
| SPHQ | QUAL | |
|---|---|---|
| Sharpe Ratio | 2.68 | 2.45 |
| Sortino Ratio | 3.71 | 3.36 |
| Omega Ratio | 1.48 | 1.45 |
| Calmar Ratio | 5.21 | 4.03 |
| Martin Ratio | 19.97 | 15.26 |
| Ulcer Index | 1.61% | 2.02% |
| Daily Std Dev | 12.01% | 12.59% |
| Max Drawdown | -57.83% | -34.06% |
| Current Drawdown | -0.90% | -1.27% |
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SPHQ vs. QUAL - Expense Ratio Comparison
Both SPHQ and QUAL 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 SPHQ and QUAL is 0.94, 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
SPHQ vs. QUAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Quality ETF (SPHQ) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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
SPHQ vs. QUAL - Dividend Comparison
SPHQ's dividend yield for the trailing twelve months is around 1.14%, more than QUAL's 0.99% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHQ Invesco S&P 500® Quality ETF | 1.14% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.99% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
Drawdowns
SPHQ vs. QUAL - Drawdown Comparison
The maximum SPHQ drawdown since its inception was -57.83%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for SPHQ and QUAL. For additional features, visit the drawdowns tool.
Volatility
SPHQ vs. QUAL - Volatility Comparison
The current volatility for Invesco S&P 500® Quality ETF (SPHQ) is 3.53%, while iShares Edge MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.74%. This indicates that SPHQ experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.