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ZGQ.TO vs. JQUA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ZGQ.TO vs. JQUA

Last updated Jun 5, 2026

ZGQ.TO (BMO MSCI All Country World High Quality Index ETF) and JQUA (JPMorgan U.S. Quality Factor ETF) are both exchange-traded funds - ZGQ.TO is a Global Equities fund tracking the MSCI All Country World High Quality Index, while JQUA is a Large Cap Growth Equities fund tracking the JP Morgan US Quality Factor Index. Both are passively managed. Over the past 5 years, ZGQ.TO returned 14.05%/yr vs 17.20%/yr for JQUA. A 0.74 correlation means they provide meaningful diversification when combined. ZGQ.TO charges 0.50%/yr vs 0.12%/yr for JQUA.

Performance

ZGQ.TO vs. JQUA - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) and JPMorgan U.S. Quality Factor ETF (JQUA). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

ZGQ.TO is traded in CAD, while JQUA is traded in USD. To make them comparable, the JQUA values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ZGQ.TO achieves a 13.68% return, which is significantly lower than JQUA's 15.73% return.

ZGQ.TO

1D
0.39%
1M
5.96%
YTD
13.68%
6M
8.77%
1Y
26.02%
3Y*
20.81%
5Y*
14.05%
10Y*
15.12%

JQUA

1D
-0.01%
1M
9.49%
YTD
15.73%
6M
13.98%
1Y
24.78%
3Y*
22.02%
5Y*
17.20%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

ZGQ.TO vs. JQUA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ZGQ.TO
BMO MSCI All Country World High Quality Index ETF		13.68%8.04%29.47%29.38%-18.76%21.44%22.41%28.91%-0.12%2.40%
JQUA
JPMorgan U.S. Quality Factor ETF		15.73%6.57%31.63%22.38%-7.28%27.52%14.59%22.15%5.25%4.24%

Correlation

The correlation between ZGQ.TO and JQUA is 0.73, 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

0.73

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

0.79

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

0.83

Correlation (All Time)
Calculated using the full available price history since Nov 10, 2017

0.74

The correlation between ZGQ.TO and JQUA has been stable across timeframes, ranging from 0.73 to 0.83 - a consistent structural relationship.

ZGQ.TO vs. JQUA - Sectors Allocation Comparison

Sectors
ZGQ.TO
JQUA

Technology

38.4%
41.9%

Healthcare

13.4%
7.2%

Communication Services

13.3%
5.5%

Industrials

11.2%
7.6%

Consumer Defensive

9.3%
5.3%

Financial Services

7.5%
10.2%

Consumer Cyclical

4.0%
9.2%

Basic Materials

2.2%
0.8%

Energy

0.4%
3.2%

Real Estate

0.3%
2.1%

Utilities

0.2%
2.3%

Technology

ZGQ.TO
38.4%
JQUA
41.9%

Healthcare

ZGQ.TO
13.4%
JQUA
7.2%

Communication Services

ZGQ.TO
13.3%
JQUA
5.5%

Industrials

ZGQ.TO
11.2%
JQUA
7.6%

Consumer Defensive

ZGQ.TO
9.3%
JQUA
5.3%

Financial Services

ZGQ.TO
7.5%
JQUA
10.2%

Consumer Cyclical

ZGQ.TO
4.0%
JQUA
9.2%

Basic Materials

ZGQ.TO
2.2%
JQUA
0.8%

Energy

ZGQ.TO
0.4%
JQUA
3.2%

Real Estate

ZGQ.TO
0.3%
JQUA
2.1%

Utilities

ZGQ.TO
0.2%
JQUA
2.3%

Compare stocks, funds, or ETFs

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BMO MSCI All Country World High Quality Index ETF

JPMorgan U.S. Quality Factor ETF

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Often compared with JQUA:
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Return for Risk

ZGQ.TO vs. JQUA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ZGQ.TO
ZGQ.TO Risk / Return Rank: 5858
Overall Rank
ZGQ.TO Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
ZGQ.TO Sortino Ratio Rank: 5555
Sortino Ratio Rank
ZGQ.TO Omega Ratio Rank: 5858
Omega Ratio Rank
ZGQ.TO Calmar Ratio Rank: 5858
Calmar Ratio Rank
ZGQ.TO Martin Ratio Rank: 6464
Martin Ratio Rank
JQUA
JQUA Risk / Return Rank: 6464
Overall Rank
JQUA Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
JQUA Sortino Ratio Rank: 6464
Sortino Ratio Rank
JQUA Omega Ratio Rank: 5858
Omega Ratio Rank
JQUA Calmar Ratio Rank: 6565
Calmar Ratio Rank
JQUA Martin Ratio Rank: 7373
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.

ZGQ.TO vs. JQUA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) 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.

ZGQ.TOJQUADifference
Sharpe ratioReturn per unit of total volatility
1.86
2.25

-0.39

Sortino ratioReturn per unit of downside risk
2.61
3.19

-0.58

Omega ratioGain probability vs. loss probability

1.35

1.41

-0.06

Calmar ratioReturn relative to maximum drawdown

2.83

3.72

-0.88

Martin ratioReturn relative to average drawdown

11.51

12.74

-1.22

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZGQ.TO vs. JQUA - Sharpe Ratio Comparison

The current ZGQ.TO Sharpe Ratio is 1.86, which is comparable to the JQUA Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ZGQ.TO and JQUA, 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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Sharpe Ratios by Period

ZGQ.TOJQUADifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.86

2.25

-0.39

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.89

1.25

-0.36

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.94

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.93

0.99

-0.06

Drawdowns

ZGQ.TO vs. JQUA - Drawdown Comparison

The maximum ZGQ.TO drawdown since its inception was -26.68%, roughly equal to the maximum JQUA drawdown of -26.50%. Use the drawdown chart below to compare losses from any high point for ZGQ.TO and JQUA.

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Drawdown Indicators

ZGQ.TOJQUADifference

Max Drawdown

Largest peak-to-trough decline

-26.68%

-26.50%

-0.18%

Max Drawdown (1Y)

Largest decline over 1 year

-9.22%

-6.70%

-2.52%

Max Drawdown (3Y)

Largest decline over 3 years

-18.36%

-16.94%

-1.42%

Max Drawdown (5Y)

Largest decline over 5 years

-26.68%

-19.91%

-6.77%

Max Drawdown (10Y)

Largest decline over 10 years

-26.68%

—

—

Current Drawdown

Current decline from peak

-0.78%

-0.01%

-0.77%

Average Drawdown

Average peak-to-trough decline

-4.49%

-3.50%

-0.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.27%

1.95%

+0.32%

Volatility

ZGQ.TO vs. JQUA - Volatility Comparison

BMO MSCI All Country World High Quality Index ETF (ZGQ.TO) has a higher volatility of 4.47% compared to JPMorgan U.S. Quality Factor ETF (JQUA) at 2.80%. This indicates that ZGQ.TO'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.

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Volatility by Period

ZGQ.TOJQUADifference

Volatility (1M)

Calculated over the trailing 1-month period

4.47%

2.80%

+1.67%

Volatility (6M)

Calculated over the trailing 6-month period

11.49%

8.34%

+3.15%

Volatility (1Y)

Calculated over the trailing 1-year period

14.04%

11.05%

+2.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.82%

13.80%

+2.02%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.15%

16.34%

-0.19%

ZGQ.TO vs. JQUA - Expense Ratio Comparison

ZGQ.TO has a 0.50% expense ratio, which is higher than JQUA's 0.12% expense ratio.

Dividends

ZGQ.TO vs. JQUA - Dividend Comparison

ZGQ.TO's dividend yield for the trailing twelve months is around 0.49%, less than JQUA's 1.07% yield.

PositionTTM20252024202320222021202020192018201720162015
JQUA
JPMorgan U.S. Quality Factor ETF		1.07%1.19%1.24%1.21%1.60%1.32%1.44%1.67%2.10%0.40%0.00%0.00%
ZGQ.TO
BMO MSCI All Country World High Quality Index ETF		0.49%0.60%0.90%1.33%1.34%0.86%0.99%1.10%1.51%1.09%1.35%1.03%

Frequently Asked Questions

ZGQ.TO and JQUA have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, JQUA is cheaper at 0.12% per year. The better choice depends on whether you care most about return, fees, risk, or income.

JQUA is cheaper with a 0.12% expense ratio, compared with 0.50% for ZGQ.TO.

ZGQ.TO is categorized as Global Equities, while JQUA is Large Cap Growth Equities. ZGQ.TO tracks MSCI All Country World High Quality Index, while JQUA tracks JP Morgan US Quality Factor Index. They also come from different issuers: BMO and JPMorgan. Their fees differ too: 0.50% for ZGQ.TO and 0.12% for JQUA.

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