VFQY vs. JQUA
Compare and contrast key facts about Vanguard U.S. Quality Factor ETF (VFQY) and JPMorgan U.S. Quality Factor ETF (JQUA).
VFQY and JQUA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFQY is an actively managed fund by Vanguard. It was launched on Feb 13, 2018. JQUA is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Quality Factor Index. It was launched on Nov 8, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFQY or JQUA.
Performance
VFQY vs. JQUA - Performance Comparison
Returns By Period
In the year-to-date period, VFQY achieves a 16.04% return, which is significantly lower than JQUA's 23.70% return.
VFQY
16.04%
2.18%
9.77%
26.15%
13.45%
N/A
JQUA
23.70%
2.86%
13.97%
30.25%
15.85%
N/A
Key characteristics
| VFQY | JQUA | |
|---|---|---|
| Sharpe Ratio | 1.90 | 2.71 |
| Sortino Ratio | 2.67 | 3.74 |
| Omega Ratio | 1.34 | 1.49 |
| Calmar Ratio | 3.40 | 4.85 |
| Martin Ratio | 11.21 | 16.39 |
| Ulcer Index | 2.38% | 1.87% |
| Daily Std Dev | 14.07% | 11.33% |
| Max Drawdown | -37.41% | -32.92% |
| Current Drawdown | -1.87% | -0.41% |
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VFQY vs. JQUA - Expense Ratio Comparison
VFQY has a 0.13% expense ratio, which is higher than JQUA's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between VFQY and JQUA 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
VFQY vs. JQUA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Quality Factor ETF (VFQY) and JPMorgan U.S. Quality Factor ETF (JQUA). 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
VFQY vs. JQUA - Dividend Comparison
VFQY's dividend yield for the trailing twelve months is around 1.28%, more than JQUA's 1.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
VFQY Vanguard U.S. Quality Factor ETF | 1.28% | 1.38% | 1.44% | 0.98% | 1.22% | 1.34% | 1.31% | 0.00% |
JQUA JPMorgan U.S. Quality Factor ETF | 1.15% | 1.22% | 1.59% | 1.32% | 1.44% | 1.67% | 2.10% | 0.39% |
Drawdowns
VFQY vs. JQUA - Drawdown Comparison
The maximum VFQY drawdown since its inception was -37.41%, which is greater than JQUA's maximum drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for VFQY and JQUA. For additional features, visit the drawdowns tool.
Volatility
VFQY vs. JQUA - Volatility Comparison
Vanguard U.S. Quality Factor ETF (VFQY) has a higher volatility of 4.74% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 3.63%. This indicates that VFQY's price experiences larger fluctuations and is considered to be riskier than JQUA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.