SPHQ vs. SPHD
Compare and contrast key facts about Invesco S&P 500® Quality ETF (SPHQ) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD).
SPHQ and SPHD 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. SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012. Both SPHQ and SPHD 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 SPHD.
Performance
SPHQ vs. SPHD - Performance Comparison
Returns By Period
In the year-to-date period, SPHQ achieves a 25.35% return, which is significantly higher than SPHD's 22.49% return. Over the past 10 years, SPHQ has outperformed SPHD with an annualized return of 13.20%, while SPHD has yielded a comparatively lower 8.74% annualized return.
SPHQ
25.35%
-0.91%
9.95%
30.61%
15.81%
13.20%
SPHD
22.49%
-0.18%
13.83%
32.04%
7.70%
8.74%
Key characteristics
| SPHQ | SPHD | |
|---|---|---|
| Sharpe Ratio | 2.54 | 2.85 |
| Sortino Ratio | 3.54 | 4.07 |
| Omega Ratio | 1.46 | 1.52 |
| Calmar Ratio | 4.93 | 2.25 |
| Martin Ratio | 18.90 | 19.55 |
| Ulcer Index | 1.61% | 1.63% |
| Daily Std Dev | 11.97% | 11.16% |
| Max Drawdown | -57.83% | -41.39% |
| Current Drawdown | -2.04% | -1.06% |
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SPHQ vs. SPHD - Expense Ratio Comparison
SPHQ has a 0.15% expense ratio, which is lower than SPHD's 0.30% expense ratio.
Correlation
The correlation between SPHQ and SPHD is 0.70, 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. SPHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Quality ETF (SPHQ) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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. SPHD - Dividend Comparison
SPHQ's dividend yield for the trailing twelve months is around 1.15%, less than SPHD's 3.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHQ Invesco S&P 500® Quality ETF | 1.15% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 3.34% | 4.48% | 3.89% | 3.46% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% | 3.24% | 3.68% |
Drawdowns
SPHQ vs. SPHD - Drawdown Comparison
The maximum SPHQ drawdown since its inception was -57.83%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for SPHQ and SPHD. For additional features, visit the drawdowns tool.
Volatility
SPHQ vs. SPHD - Volatility Comparison
Invesco S&P 500® Quality ETF (SPHQ) has a higher volatility of 3.42% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.62%. This indicates that SPHQ's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.