FRDM vs. QVAL
Compare and contrast key facts about Freedom 100 Emerging Markets ETF (FRDM) and Alpha Architect U.S. Quantitative Value ETF (QVAL).
FRDM and QVAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FRDM is a passively managed fund by Freedom that tracks the performance of the Life + Liberty Freedom 100 Emerging Markets Index. It was launched on May 22, 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 FRDM 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: FRDM or QVAL.
Key characteristics
| FRDM | QVAL | |
|---|---|---|
| YTD Return | 7.45% | 12.87% |
| 1Y Return | 21.94% | 23.29% |
| 3Y Return (Ann) | 3.86% | 10.91% |
| 5Y Return (Ann) | 8.94% | 12.23% |
| Sharpe Ratio | 1.16 | 1.37 |
| Daily Std Dev | 18.24% | 16.59% |
| Max Drawdown | -100.00% | -51.49% |
| Current Drawdown | -99.91% | -0.05% |
Correlation
The correlation between FRDM and QVAL is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
FRDM vs. QVAL - Performance Comparison
In the year-to-date period, FRDM achieves a 7.45% return, which is significantly lower than QVAL's 12.87% 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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FRDM vs. QVAL - Expense Ratio Comparison
Both FRDM and QVAL have an expense ratio of 0.49%.
Risk-Adjusted Performance
FRDM vs. QVAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Freedom 100 Emerging Markets ETF (FRDM) 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
FRDM vs. QVAL - Dividend Comparison
FRDM's dividend yield for the trailing twelve months is around 2.66%, more than QVAL's 1.96% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FRDM Freedom 100 Emerging Markets ETF | 2.66% | 2.66% | 2.72% | 2.17% | 1.11% | 1.07% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.96% | 1.76% | 2.00% | 1.23% | 1.86% | 1.99% | 1.64% | 1.08% | 1.30% | 1.37% | 0.15% |
Drawdowns
FRDM vs. QVAL - Drawdown Comparison
The maximum FRDM drawdown since its inception was -100.00%, which is greater than QVAL's maximum drawdown of -51.49%. Use the drawdown chart below to compare losses from any high point for FRDM and QVAL. For additional features, visit the drawdowns tool.
Volatility
FRDM vs. QVAL - Volatility Comparison
Freedom 100 Emerging Markets ETF (FRDM) has a higher volatility of 5.42% compared to Alpha Architect U.S. Quantitative Value ETF (QVAL) at 4.93%. This indicates that FRDM's price experiences larger fluctuations and is considered to be riskier than QVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.