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SPSM vs. QUAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SPSM vs. QUAL

Last updated Jun 13, 2026

SPSM (State Street SPDR Portfolio S&P 600 Small Cap ETF) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - SPSM is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Index, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 10 years, SPSM returned 11.30%/yr vs 14.46%/yr for QUAL. A 0.77 correlation means they provide meaningful diversification when combined. SPSM charges 0.03%/yr vs 0.15%/yr for QUAL.

Performance

SPSM vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) and iShares MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SPSM achieves a 19.73% return, which is significantly higher than QUAL's 9.44% return. Over the past 10 years, SPSM has underperformed QUAL with an annualized return of 11.30%, while QUAL has yielded a comparatively higher 14.46% annualized return.

SPSM

1D
0.99%
1M
5.61%
YTD
19.73%
6M
16.52%
1Y
37.11%
3Y*
14.81%
5Y*
6.32%
10Y*
11.30%

QUAL

1D
0.47%
1M
2.14%
YTD
9.44%
6M
9.29%
1Y
22.87%
3Y*
19.30%
5Y*
11.97%
10Y*
14.46%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SPSM vs. QUAL - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
SPSM
State Street SPDR Portfolio S&P 600 Small Cap ETF		19.73%6.11%8.55%16.11%-16.12%26.67%11.69%25.85%-11.17%15.44%
QUAL
iShares MSCI USA Quality Factor ETF		9.44%12.65%22.29%30.88%-20.50%26.94%17.04%33.89%-5.70%22.26%

Correlation

The correlation between SPSM and QUAL is 0.79, 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

0.79

Correlation (3Y)
Calculated over the trailing 3-year period

0.73

Correlation (5Y)
Calculated over the trailing 5-year period

0.77

Correlation (10Y)
Calculated over the trailing 10-year period

0.77

Correlation (All Time)
Calculated using the full available price history since Jul 18, 2013

0.77

The correlation between SPSM and QUAL has been stable across timeframes, ranging from 0.73 to 0.79 - a consistent structural relationship.

SPSM vs. QUAL - Sectors Allocation Comparison

Sectors
SPSM
QUAL

Financial Services

16.9%
11.5%

Industrials

15.5%
8.2%

Technology

15.5%
36.5%

Consumer Cyclical

13.4%
9.3%

Healthcare

11.0%
9.0%

Real Estate

7.7%
1.8%

Energy

5.9%
4.0%

Basic Materials

5.1%
1.7%

Communication Services

3.6%
11.1%

Consumer Defensive

3.5%
4.9%

Utilities

2.0%
1.9%

Financial Services

SPSM
16.9%
QUAL
11.5%

Industrials

SPSM
15.5%
QUAL
8.2%

Technology

SPSM
15.5%
QUAL
36.5%

Consumer Cyclical

SPSM
13.4%
QUAL
9.3%

Healthcare

SPSM
11.0%
QUAL
9.0%

Real Estate

SPSM
7.7%
QUAL
1.8%

Energy

SPSM
5.9%
QUAL
4.0%

Basic Materials

SPSM
5.1%
QUAL
1.7%

Communication Services

SPSM
3.6%
QUAL
11.1%

Consumer Defensive

SPSM
3.5%
QUAL
4.9%

Utilities

SPSM
2.0%
QUAL
1.9%

Compare stocks, funds, or ETFs

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

State Street SPDR Portfolio S&P 600 Small Cap ETF

iShares MSCI USA Quality Factor ETF

Often compared with SPSM:
SPSM vs. IWMSPSM vs. IJRSPSM vs. AVUVSPSM vs. VBSPSM vs. SCHASPSM vs. VIOOSPSM vs. DFSCX
Often compared with QUAL:
QUAL vs. SPHQQUAL vs. SPYQUAL vs. MTUMQUAL vs. USMVQUAL vs. VOOQUAL vs. IVVQUAL vs. SCHD

Return for Risk

SPSM vs. QUAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SPSM
SPSM Risk / Return Rank: 7474
Overall Rank
SPSM Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
SPSM Sortino Ratio Rank: 7272
Sortino Ratio Rank
SPSM Omega Ratio Rank: 6464
Omega Ratio Rank
SPSM Calmar Ratio Rank: 8484
Calmar Ratio Rank
SPSM Martin Ratio Rank: 7979
Martin Ratio Rank
QUAL
QUAL Risk / Return Rank: 5959
Overall Rank
QUAL Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
QUAL Sortino Ratio Rank: 6060
Sortino Ratio Rank
QUAL Omega Ratio Rank: 5656
Omega Ratio Rank
QUAL Calmar Ratio Rank: 5353
Calmar Ratio Rank
QUAL Martin Ratio Rank: 6767
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SPSM vs. QUAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) and iShares 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.

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.

SPSMQUALDifference
Sharpe ratioReturn per unit of total volatility
1.95
1.74

+0.22

Sortino ratioReturn per unit of downside risk
2.80
2.46

+0.34

Omega ratioGain probability vs. loss probability

1.33

1.31

+0.03

Calmar ratioReturn relative to maximum drawdown

3.96

2.32

+1.64

Martin ratioReturn relative to average drawdown

13.39

10.60

+2.78

SPSM vs. QUAL - Sharpe Ratio Comparison

The current SPSM Sharpe Ratio is 1.95, which is comparable to the QUAL Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of SPSM and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

SPSM vs. QUAL - Drawdown Comparison

The maximum SPSM drawdown since its inception was -42.89%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for SPSM and QUAL.

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Drawdown Indicators

SPSMQUALDifference

Max Drawdown

Largest peak-to-trough decline

-42.89%

-34.06%

-8.83%

Max Drawdown (1Y)

Largest decline over 1 year

-8.72%

-9.03%

+0.31%

Max Drawdown (3Y)

Largest decline over 3 years

-27.94%

-18.00%

-9.94%

Max Drawdown (5Y)

Largest decline over 5 years

-27.94%

-28.23%

+0.29%

Max Drawdown (10Y)

Largest decline over 10 years

-42.89%

-34.06%

-8.83%

Current Drawdown

Current decline from peak

0.00%

-0.19%

+0.19%

Average Drawdown

Average peak-to-trough decline

-7.91%

-4.10%

-3.81%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.59%

1.99%

+0.60%

Volatility

SPSM vs. QUAL - Volatility Comparison

State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) has a higher volatility of 5.14% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.63%. This indicates that SPSM'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.

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Volatility by Period

SPSMQUALDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.14%

3.63%

+1.51%

Volatility (6M)

Calculated over the trailing 6-month period

11.96%

9.43%

+2.53%

Volatility (1Y)

Calculated over the trailing 1-year period

17.69%

12.10%

+5.59%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.45%

17.36%

+4.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.00%

18.11%

+4.89%

SPSM vs. QUAL - Expense Ratio Comparison

SPSM has a 0.03% expense ratio, which is lower than QUAL's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SPSM vs. QUAL - Dividend Comparison

SPSM's dividend yield for the trailing twelve months is around 1.37%, more than QUAL's 0.87% yield.

PositionTTM20252024202320222021202020192018201720162015
QUAL
iShares MSCI USA Quality Factor ETF		0.87%0.94%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%
SPSM
State Street SPDR Portfolio S&P 600 Small Cap ETF		1.37%1.62%1.85%1.61%1.38%1.40%1.34%1.58%1.82%1.51%1.49%2.37%

Frequently Asked Questions

SPSM and QUAL have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPSM has higher volatility (5.14%) compared to QUAL (3.63%). In terms of maximum drawdown, SPSM dropped -42.89% vs QUAL's -34.06%.

On 10-year performance, QUAL leads with 14.46% vs 11.30% for SPSM. On fees, SPSM is cheaper at 0.03% per year. On volatility, QUAL has been the lower-risk option at 3.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, QUAL has performed better with a 14.46% return vs 11.30%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPSM is cheaper with a 0.03% expense ratio, compared with 0.15% for QUAL.

SPSM has the higher dividend yield at 1.37%, compared with 0.87% for QUAL.

SPSM is categorized as Small Cap Blend Equities, while QUAL is Large Cap Blend Equities. SPSM tracks S&P SmallCap 600 Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. They also come from different issuers: State Street and iShares. Their fees differ too: 0.03% for SPSM and 0.15% for QUAL.

SPSM currently has the higher Sharpe Ratio (1.95 vs 1.74), 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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