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SPHQ vs. QUAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

SPHQ vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Quality ETF (SPHQ) and iShares Edge MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

290.00%300.00%310.00%320.00%330.00%340.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
337.55%
329.08%
SPHQ
QUAL

Key characteristics

Sharpe Ratio

SPHQ:

2.30

QUAL:

1.92

Sortino Ratio

SPHQ:

3.16

QUAL:

2.66

Omega Ratio

SPHQ:

1.42

QUAL:

1.35

Calmar Ratio

SPHQ:

4.58

QUAL:

3.22

Martin Ratio

SPHQ:

17.18

QUAL:

11.82

Ulcer Index

SPHQ:

1.64%

QUAL:

2.08%

Daily Std Dev

SPHQ:

12.27%

QUAL:

12.78%

Max Drawdown

SPHQ:

-57.83%

QUAL:

-34.06%

Current Drawdown

SPHQ:

-2.71%

QUAL:

-3.68%

Returns By Period

In the year-to-date period, SPHQ achieves a 26.71% return, which is significantly higher than QUAL's 23.21% return. Both investments have delivered pretty close results over the past 10 years, with SPHQ having a 13.04% annualized return and QUAL not far behind at 12.90%.


SPHQ

YTD

26.71%

1M

-0.07%

6M

5.75%

1Y

26.92%

5Y*

14.94%

10Y*

13.04%

QUAL

YTD

23.21%

1M

-0.51%

6M

4.92%

1Y

23.49%

5Y*

13.79%

10Y*

12.90%

Compare stocks, funds, or ETFs

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


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%.


SPHQ
Invesco S&P 500® Quality ETF
Expense ratio chart for SPHQ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

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.


Sharpe ratio
The chart of Sharpe ratio for SPHQ, currently valued at 2.30, compared to the broader market0.002.004.002.301.92
The chart of Sortino ratio for SPHQ, currently valued at 3.16, compared to the broader market-2.000.002.004.006.008.0010.003.162.66
The chart of Omega ratio for SPHQ, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.35
The chart of Calmar ratio for SPHQ, currently valued at 4.58, compared to the broader market0.005.0010.0015.004.583.22
The chart of Martin ratio for SPHQ, currently valued at 17.18, compared to the broader market0.0020.0040.0060.0080.00100.0017.1811.82
SPHQ
QUAL

The current SPHQ Sharpe Ratio is 2.30, which is comparable to the QUAL Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of SPHQ and QUAL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.30
1.92
SPHQ
QUAL

Dividends

SPHQ vs. QUAL - Dividend Comparison

SPHQ's dividend yield for the trailing twelve months is around 0.85%, less than QUAL's 1.06% yield.


TTM20232022202120202019201820172016201520142013
SPHQ
Invesco S&P 500® Quality ETF
0.85%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
1.06%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.71%
-3.68%
SPHQ
QUAL

Volatility

SPHQ vs. QUAL - Volatility Comparison

Invesco S&P 500® Quality ETF (SPHQ) has a higher volatility of 3.99% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.45%. This indicates that SPHQ's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.99%
3.45%
SPHQ
QUAL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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