Alpha Architect U.S. Quantitative Value ETF (QVAL)
QVAL is a passive ETF by EMPIRICAL FINANCE LLC tracking the investment results of the QVAL-US - Alpha Architect Quantitative Value Index. QVAL launched on Oct 22, 2014 and has a 0.49% expense ratio.
ETF Info
| ISIN | US02072L1026 |
|---|---|
| CUSIP | 02072L102 |
| Issuer | EMPIRICAL FINANCE LLC |
| Inception Date | Oct 22, 2014 |
| Region | North America (U.S.) |
| Category | All Cap Equities |
| Index Tracked | QVAL-US - Alpha Architect Quantitative Value Index |
| Asset Class | Equity |
Asset Class Size | Multi-Cap |
Asset Class Style | Blend |
Expense Ratio
The Alpha Architect U.S. Quantitative Value ETF has a high expense ratio of 0.49%, indicating higher-than-average management fees.
Share Price Chart
Loading data...
Performance
The chart shows the growth of an initial investment of $10,000 in Alpha Architect U.S. Quantitative Value ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Compare to other instruments
Return
Alpha Architect U.S. Quantitative Value ETF had a return of 21.65% year-to-date (YTD) and 11.84% in the last 12 months.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 21.65% | 19.67% |
| 1 month | 7.77% | 8.42% |
| 6 months | 19.44% | 7.29% |
| 1 year | 11.84% | 12.71% |
| 5 years (annualized) | 8.00% | 10.75% |
| 10 years (annualized) | N/A | 9.87% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -6.77% | 12.38% | 6.30% | 0.95% | 0.32% | -4.84% | 6.82% |
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Value ETF (QVAL) and S&P 500 (^GSPC). 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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
QVAL Alpha Architect U.S. Quantitative Value ETF | 0.53 | ||||
^GSPC S&P 500 | 0.91 |
Dividend History
Alpha Architect U.S. Quantitative Value ETF granted a 2.09% dividend yield in the last twelve months. The annual payout for that period amounted to $0.81 per share.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.81 | $0.64 | $0.46 | $0.52 | $0.61 | $0.41 | $0.33 | $0.32 | $0.30 | $0.04 |
Dividend yield | 2.09% | 2.00% | 1.23% | 1.86% | 1.99% | 1.64% | 1.08% | 1.30% | 1.37% | 0.15% |
Monthly Dividends
The table displays the monthly dividend distributions for Alpha Architect U.S. Quantitative Value ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | $0.00 | $0.00 | $0.18 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.14 | $0.00 | $0.00 | |
| 2022 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.29 |
| 2021 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.28 |
| 2020 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.13 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.27 |
| 2019 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.13 | $0.00 | $0.00 | $0.25 |
| 2018 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.18 |
| 2017 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.11 |
| 2016 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.09 |
| 2015 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.10 |
| 2014 | $0.04 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Alpha Architect U.S. Quantitative Value ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Alpha Architect U.S. Quantitative Value ETF was 51.49%, occurring on Mar 23, 2020. Recovery took 245 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -51.49% | Jan 29, 2018 | 541 | Mar 23, 2020 | 245 | Mar 12, 2021 | 786 |
| -30.08% | Apr 24, 2015 | 203 | Feb 11, 2016 | 410 | Oct 2, 2017 | 613 |
| -27.17% | Nov 17, 2021 | 215 | Sep 26, 2022 | 235 | Sep 1, 2023 | 450 |
| -8.14% | Sep 15, 2023 | 31 | Oct 27, 2023 | 24 | Dec 1, 2023 | 55 |
| -7.57% | May 10, 2021 | 29 | Jun 18, 2021 | 37 | Aug 11, 2021 | 66 |
Volatility Chart
The current Alpha Architect U.S. Quantitative Value ETF volatility is 6.18%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.