SPHQ vs. SWAN
SPHQ (Invesco S&P 500 Quality ETF) and SWAN (Amplify BlackSwan Growth & Treasury Core ETF) are both exchange-traded funds - SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index, while SWAN is a Diversified Portfolio fund tracking the S-Network BlackSwan Core Index. Both are passively managed. Over the past 5 years, SPHQ returned 14.55%/yr vs 3.05%/yr for SWAN. A 0.70 correlation means they provide meaningful diversification when combined. SPHQ charges 0.15%/yr vs 0.49%/yr for SWAN.
Performance
SPHQ vs. SWAN - Performance Comparison
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Returns By Period
In the year-to-date period, SPHQ achieves a 16.79% return, which is significantly higher than SWAN's 3.83% return.
SPHQ
- 1D
- 1.02%
- 1M
- 5.74%
- YTD
- 16.79%
- 6M
- 15.77%
- 1Y
- 26.53%
- 3Y*
- 22.40%
- 5Y*
- 14.55%
- 10Y*
- 15.27%
SWAN
- 1D
- 0.11%
- 1M
- 0.70%
- YTD
- 3.83%
- 6M
- 3.97%
- 1Y
- 15.52%
- 3Y*
- 12.40%
- 5Y*
- 3.05%
- 10Y*
- —
SPHQ vs. SWAN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
SPHQ Invesco S&P 500 Quality ETF | 16.79% | 13.25% | 25.44% | 24.83% | -15.76% | 28.03% | 17.36% | 33.64% | -9.16% |
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 3.83% | 13.93% | 13.44% | 12.07% | -27.77% | 10.55% | 16.17% | 22.03% | -2.27% |
Correlation
The correlation between SPHQ and SWAN is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.72 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (All Time) Calculated using the full available price history since Nov 6, 2018 | 0.70 |
The correlation between SPHQ and SWAN has been stable across timeframes, ranging from 0.70 to 0.76 - a consistent structural relationship.
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Return for Risk
SPHQ vs. SWAN — Risk / Return Rank
SPHQ
SWAN
SPHQ vs. SWAN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Quality ETF (SPHQ) and Amplify BlackSwan Growth & Treasury Core ETF (SWAN). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SPHQ | SWAN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.35 | ||
| Sortino ratioReturn per unit of downside risk | +0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.27 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.75 | 2.09 | +0.66 |
| Martin ratioReturn relative to average drawdown | 11.76 | 8.04 | +3.72 |
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Drawdowns
SPHQ vs. SWAN - Drawdown Comparison
The maximum SPHQ drawdown since its inception was -57.83%, which is greater than SWAN's maximum drawdown of -31.04%. Use the drawdown chart below to compare losses from any high point for SPHQ and SWAN.
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Drawdown Indicators
| SPHQ | SWAN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.83% | -31.04% | -26.79% |
Max Drawdown (1Y)Largest decline over 1 year | -8.90% | -7.05% | -1.85% |
Max Drawdown (3Y)Largest decline over 3 years | -16.57% | -12.07% | -4.50% |
Max Drawdown (5Y)Largest decline over 5 years | -25.04% | -31.04% | +6.00% |
Max Drawdown (10Y)Largest decline over 10 years | -31.60% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.92% | +1.92% |
Average DrawdownAverage peak-to-trough decline | -10.69% | -8.85% | -1.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.09% | 1.83% | +0.26% |
Volatility
SPHQ vs. SWAN - Volatility Comparison
Invesco S&P 500 Quality ETF (SPHQ) has a higher volatility of 4.92% compared to Amplify BlackSwan Growth & Treasury Core ETF (SWAN) at 3.95%. This indicates that SPHQ's price experiences larger fluctuations and is considered to be riskier than SWAN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SPHQ | SWAN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.92% | 3.95% | +0.97% |
Volatility (6M)Calculated over the trailing 6-month period | 10.83% | 7.78% | +3.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.18% | 9.78% | +3.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.53% | 11.39% | +5.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.90% | 12.49% | +5.41% |
SPHQ vs. SWAN - Expense Ratio Comparison
SPHQ has a 0.15% expense ratio, which is lower than SWAN's 0.49% expense ratio.
Dividends
SPHQ vs. SWAN - Dividend Comparison
SPHQ's dividend yield for the trailing twelve months is around 1.03%, less than SWAN's 2.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHQ Invesco S&P 500 Quality ETF | 1.03% | 1.09% | 1.15% | 1.42% | 1.85% | 1.19% | 1.55% | 1.51% | 1.85% | 1.57% | 1.67% | 2.29% |
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 2.83% | 2.86% | 2.54% | 2.98% | 2.12% | 5.04% | 1.64% | 3.69% | 0.29% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SPHQ and SWAN have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHQ has higher volatility (4.92%) compared to SWAN (3.95%). In terms of maximum drawdown, SPHQ dropped -57.83% vs SWAN's -31.04%.
On 5-year performance, SPHQ leads with 14.55% vs 3.05% for SWAN. On fees, SPHQ is cheaper at 0.15% per year. On volatility, SWAN has been the lower-risk option at 3.95%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPHQ has performed better with a 14.55% return vs 3.05%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHQ is cheaper with a 0.15% expense ratio, compared with 0.49% for SWAN.
SWAN has the higher dividend yield at 2.83%, compared with 1.03% for SPHQ.
SPHQ is categorized as S&P 500, while SWAN is Diversified Portfolio. SPHQ tracks S&P 500 Quality Index, while SWAN tracks S-Network BlackSwan Core Index. They also come from different issuers: Invesco and Amplify. Their fees differ too: 0.15% for SPHQ and 0.49% for SWAN.
SPHQ currently has the higher Sharpe Ratio (1.85 vs 1.50), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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