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

Key characteristics


USMVQUAL
YTD Return21.29%26.26%
1Y Return29.85%37.51%
3Y Return (Ann)8.15%9.77%
5Y Return (Ann)9.98%15.56%
10Y Return (Ann)11.01%13.42%
Sharpe Ratio3.412.89
Sortino Ratio4.823.98
Omega Ratio1.651.53
Calmar Ratio4.234.80
Martin Ratio22.4418.37
Ulcer Index1.28%1.99%
Daily Std Dev8.45%12.68%
Max Drawdown-33.10%-34.06%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between USMV and QUAL is 0.86, 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.

Performance

USMV vs. QUAL - Performance Comparison

In the year-to-date period, USMV achieves a 21.29% return, which is significantly lower than QUAL's 26.26% return. Over the past 10 years, USMV has underperformed QUAL with an annualized return of 11.01%, while QUAL has yielded a comparatively higher 13.42% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.65%
13.76%
USMV
QUAL

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USMV vs. QUAL - Expense Ratio Comparison

Both USMV 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%.


USMV
iShares Edge MSCI Min Vol USA ETF
Expense ratio chart for USMV: 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

USMV vs. QUAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Min Vol USA ETF (USMV) 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.


USMV
Sharpe ratio
The chart of Sharpe ratio for USMV, currently valued at 3.41, compared to the broader market-2.000.002.004.003.41
Sortino ratio
The chart of Sortino ratio for USMV, currently valued at 4.82, compared to the broader market-2.000.002.004.006.008.0010.0012.004.82
Omega ratio
The chart of Omega ratio for USMV, currently valued at 1.65, compared to the broader market1.001.502.002.503.001.65
Calmar ratio
The chart of Calmar ratio for USMV, currently valued at 4.23, compared to the broader market0.005.0010.0015.004.23
Martin ratio
The chart of Martin ratio for USMV, currently valued at 22.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.44
QUAL
Sharpe ratio
The chart of Sharpe ratio for QUAL, currently valued at 2.89, compared to the broader market-2.000.002.004.002.89
Sortino ratio
The chart of Sortino ratio for QUAL, currently valued at 3.98, compared to the broader market-2.000.002.004.006.008.0010.0012.003.98
Omega ratio
The chart of Omega ratio for QUAL, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for QUAL, currently valued at 4.80, compared to the broader market0.005.0010.0015.004.80
Martin ratio
The chart of Martin ratio for QUAL, currently valued at 18.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.37

USMV vs. QUAL - Sharpe Ratio Comparison

The current USMV Sharpe Ratio is 3.41, which is comparable to the QUAL Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of USMV 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.41
2.89
USMV
QUAL

Dividends

USMV vs. QUAL - Dividend Comparison

USMV's dividend yield for the trailing twelve months is around 1.60%, more than QUAL's 0.98% yield.


TTM20232022202120202019201820172016201520142013
USMV
iShares Edge MSCI Min Vol USA ETF
1.60%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%
QUAL
iShares Edge MSCI USA Quality Factor ETF
0.98%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%

Drawdowns

USMV vs. QUAL - Drawdown Comparison

The maximum USMV drawdown since its inception was -33.10%, roughly equal to the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for USMV and QUAL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
USMV
QUAL

Volatility

USMV vs. QUAL - Volatility Comparison

The current volatility for iShares Edge MSCI Min Vol USA ETF (USMV) is 2.89%, while iShares Edge MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.79%. This indicates that USMV experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.89%
3.79%
USMV
QUAL