FOVL vs. QVAL
Compare and contrast key facts about iShares Focused Value Factor ETF (FOVL) and Alpha Architect U.S. Quantitative Value ETF (QVAL).
FOVL and QVAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FOVL is a passively managed fund by iShares that tracks the performance of the Focused Value Select Index. It was launched on Mar 19, 2019. QVAL is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the QVAL-US - Alpha Architect Quantitative Value Index. It was launched on Oct 22, 2014. Both FOVL and QVAL 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: FOVL or QVAL.
Key characteristics
| FOVL | QVAL | |
|---|---|---|
| YTD Return | 7.28% | 10.06% |
| 1Y Return | 27.07% | 38.16% |
| 3Y Return (Ann) | 5.61% | 10.97% |
| 5Y Return (Ann) | 8.08% | 11.70% |
| Sharpe Ratio | 1.73 | 2.42 |
| Daily Std Dev | 16.51% | 16.52% |
| Max Drawdown | -49.46% | -51.49% |
| Current Drawdown | -1.49% | -1.16% |
Correlation
The correlation between FOVL and QVAL is 0.84, 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
FOVL vs. QVAL - Performance Comparison
In the year-to-date period, FOVL achieves a 7.28% return, which is significantly lower than QVAL's 10.06% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FOVL vs. QVAL - Expense Ratio Comparison
FOVL has a 0.25% expense ratio, which is lower than QVAL's 0.49% expense ratio.
Risk-Adjusted Performance
FOVL vs. QVAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Focused Value Factor ETF (FOVL) and Alpha Architect U.S. Quantitative Value ETF (QVAL). 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
FOVL vs. QVAL - Dividend Comparison
FOVL's dividend yield for the trailing twelve months is around 2.30%, more than QVAL's 1.50% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FOVL iShares Focused Value Factor ETF | 2.30% | 2.59% | 3.38% | 2.80% | 2.88% | 2.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.50% | 1.76% | 2.00% | 1.23% | 1.86% | 1.99% | 1.64% | 1.08% | 1.30% | 1.37% | 0.15% |
Drawdowns
FOVL vs. QVAL - Drawdown Comparison
The maximum FOVL drawdown since its inception was -49.46%, roughly equal to the maximum QVAL drawdown of -51.49%. Use the drawdown chart below to compare losses from any high point for FOVL and QVAL. For additional features, visit the drawdowns tool.
Volatility
FOVL vs. QVAL - Volatility Comparison
The current volatility for iShares Focused Value Factor ETF (FOVL) is 3.30%, while Alpha Architect U.S. Quantitative Value ETF (QVAL) has a volatility of 3.85%. This indicates that FOVL experiences smaller price fluctuations and is considered to be less risky than QVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.