USMV vs. QUAL
Compare and contrast key facts about iShares Edge MSCI Min Vol USA ETF (USMV) and iShares Edge MSCI USA Quality Factor ETF (QUAL).
USMV and QUAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Quality Index. It was launched on Jul 16, 2013. Both USMV and QUAL 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: USMV or QUAL.
Performance
USMV vs. QUAL - Performance Comparison
Returns By Period
In the year-to-date period, USMV achieves a 18.28% return, which is significantly lower than QUAL's 22.93% return. Over the past 10 years, USMV has underperformed QUAL with an annualized return of 10.65%, while QUAL has yielded a comparatively higher 13.07% annualized return.
USMV
18.28%
-1.67%
9.30%
24.20%
9.17%
10.65%
QUAL
22.93%
-1.29%
9.02%
29.87%
14.64%
13.07%
Key characteristics
| USMV | QUAL | |
|---|---|---|
| Sharpe Ratio | 2.86 | 2.36 |
| Sortino Ratio | 4.01 | 3.27 |
| Omega Ratio | 1.53 | 1.43 |
| Calmar Ratio | 4.84 | 3.90 |
| Martin Ratio | 18.65 | 14.88 |
| Ulcer Index | 1.30% | 2.00% |
| Daily Std Dev | 8.47% | 12.60% |
| Max Drawdown | -33.10% | -34.06% |
| Current Drawdown | -2.48% | -2.64% |
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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%.
Correlation
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.
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.
Dividends
USMV vs. QUAL - Dividend Comparison
USMV's dividend yield for the trailing twelve months is around 1.64%, more than QUAL's 1.01% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
USMV iShares Edge MSCI Min Vol USA ETF | 1.64% | 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 | 1.01% | 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.
Volatility
USMV vs. QUAL - Volatility Comparison
The current volatility for iShares Edge MSCI Min Vol USA ETF (USMV) is 3.09%, while iShares Edge MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.81%. 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.