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

Correlation

The correlation between SPHQ and SPHD is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

SPHQ vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Quality ETF (SPHQ) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
426.41%
206.24%
SPHQ
SPHD

Key characteristics

Sharpe Ratio

SPHQ:

2.30

SPHD:

1.79

Sortino Ratio

SPHQ:

3.16

SPHD:

2.56

Omega Ratio

SPHQ:

1.42

SPHD:

1.32

Calmar Ratio

SPHQ:

4.58

SPHD:

2.02

Martin Ratio

SPHQ:

17.18

SPHD:

10.16

Ulcer Index

SPHQ:

1.64%

SPHD:

1.97%

Daily Std Dev

SPHQ:

12.27%

SPHD:

11.19%

Max Drawdown

SPHQ:

-57.83%

SPHD:

-41.39%

Current Drawdown

SPHQ:

-2.71%

SPHD:

-6.38%

Returns By Period

In the year-to-date period, SPHQ achieves a 26.71% return, which is significantly higher than SPHD's 18.08% return. Over the past 10 years, SPHQ has outperformed SPHD with an annualized return of 13.04%, while SPHD has yielded a comparatively lower 8.08% annualized return.


SPHQ

YTD

26.71%

1M

-0.07%

6M

5.75%

1Y

26.92%

5Y*

14.94%

10Y*

13.04%

SPHD

YTD

18.08%

1M

-4.76%

6M

10.47%

1Y

18.61%

5Y*

6.33%

10Y*

8.08%

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. SPHD - Expense Ratio Comparison

SPHQ has a 0.15% expense ratio, which is lower than SPHD's 0.30% expense ratio.


SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
Expense ratio chart for SPHD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
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%

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.


Sharpe ratio
The chart of Sharpe ratio for SPHQ, currently valued at 2.30, compared to the broader market0.002.004.002.301.79
The chart of Sortino ratio for SPHQ, currently valued at 3.16, compared to the broader market-2.000.002.004.006.008.0010.003.162.56
The chart of Omega ratio for SPHQ, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.32
The chart of Calmar ratio for SPHQ, currently valued at 4.58, compared to the broader market0.005.0010.0015.004.582.02
The chart of Martin ratio for SPHQ, currently valued at 17.18, compared to the broader market0.0020.0040.0060.0080.00100.0017.1810.16
SPHQ
SPHD

The current SPHQ Sharpe Ratio is 2.30, which is comparable to the SPHD Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of SPHQ and SPHD, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.30
1.79
SPHQ
SPHD

Dividends

SPHQ vs. SPHD - Dividend Comparison

SPHQ's dividend yield for the trailing twelve months is around 0.85%, less than SPHD's 3.11% 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%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
3.11%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.71%
-6.38%
SPHQ
SPHD

Volatility

SPHQ vs. SPHD - Volatility Comparison

Invesco S&P 500® Quality ETF (SPHQ) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) have volatilities of 3.99% and 3.85%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.99%
3.85%
SPHQ
SPHD
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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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