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

Key characteristics


ATFVQUAL
YTD Return40.75%26.26%
1Y Return62.00%37.51%
3Y Return (Ann)1.79%9.77%
Sharpe Ratio2.732.89
Sortino Ratio3.403.98
Omega Ratio1.441.53
Calmar Ratio1.694.80
Martin Ratio15.3218.37
Ulcer Index3.87%1.99%
Daily Std Dev21.71%12.68%
Max Drawdown-45.34%-34.06%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between ATFV and QUAL is 0.83, 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

ATFV vs. QUAL - Performance Comparison

In the year-to-date period, ATFV achieves a 40.75% return, which is significantly higher than QUAL's 26.26% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
22.03%
50.44%
ATFV
QUAL

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ATFV vs. QUAL - Expense Ratio Comparison

ATFV has a 0.55% expense ratio, which is higher than QUAL's 0.15% expense ratio.


ATFV
Alger 35 ETF
Expense ratio chart for ATFV: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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

ATFV vs. QUAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alger 35 ETF (ATFV) 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.


ATFV
Sharpe ratio
The chart of Sharpe ratio for ATFV, currently valued at 2.73, compared to the broader market-2.000.002.004.002.73
Sortino ratio
The chart of Sortino ratio for ATFV, currently valued at 3.40, compared to the broader market0.005.0010.003.40
Omega ratio
The chart of Omega ratio for ATFV, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for ATFV, currently valued at 1.69, compared to the broader market0.005.0010.0015.001.69
Martin ratio
The chart of Martin ratio for ATFV, currently valued at 15.32, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.32
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 market0.005.0010.003.98
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

ATFV vs. QUAL - Sharpe Ratio Comparison

The current ATFV Sharpe Ratio is 2.73, which is comparable to the QUAL Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of ATFV 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.73
2.89
ATFV
QUAL

Dividends

ATFV vs. QUAL - Dividend Comparison

ATFV's dividend yield for the trailing twelve months is around 0.01%, less than QUAL's 0.98% yield.


TTM20232022202120202019201820172016201520142013
ATFV
Alger 35 ETF
0.01%0.01%0.05%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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

ATFV vs. QUAL - Drawdown Comparison

The maximum ATFV drawdown since its inception was -45.34%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for ATFV and QUAL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
ATFV
QUAL

Volatility

ATFV vs. QUAL - Volatility Comparison

Alger 35 ETF (ATFV) has a higher volatility of 6.14% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.79%. This indicates that ATFV's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.14%
3.79%
ATFV
QUAL