IVAL vs. QQQ
Compare and contrast key facts about Alpha Architect International Quantitative Value ETF (IVAL) and Invesco QQQ (QQQ).
IVAL and QQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IVAL is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the IVAL-US - Alpha Architect International Quantitative Value Index. It was launched on Dec 17, 2014. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999. Both IVAL and QQQ 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: IVAL or QQQ.
Key characteristics
| IVAL | QQQ | |
|---|---|---|
| YTD Return | 1.53% | 26.02% |
| 1Y Return | 12.75% | 36.73% |
| 3Y Return (Ann) | 3.16% | 9.97% |
| 5Y Return (Ann) | 1.35% | 21.44% |
| Sharpe Ratio | 0.86 | 2.28 |
| Sortino Ratio | 1.24 | 2.98 |
| Omega Ratio | 1.16 | 1.41 |
| Calmar Ratio | 0.75 | 2.94 |
| Martin Ratio | 3.10 | 10.71 |
| Ulcer Index | 4.30% | 3.72% |
| Daily Std Dev | 15.50% | 17.35% |
| Max Drawdown | -46.09% | -82.98% |
| Current Drawdown | -7.13% | -0.06% |
Correlation
The correlation between IVAL and QQQ is 0.56, 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
IVAL vs. QQQ - Performance Comparison
In the year-to-date period, IVAL achieves a 1.53% return, which is significantly lower than QQQ's 26.02% 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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IVAL vs. QQQ - Expense Ratio Comparison
IVAL has a 0.59% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Risk-Adjusted Performance
IVAL vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Value ETF (IVAL) and Invesco QQQ (QQQ). 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
IVAL vs. QQQ - Dividend Comparison
IVAL's dividend yield for the trailing twelve months is around 3.85%, more than QQQ's 0.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVAL Alpha Architect International Quantitative Value ETF | 3.85% | 5.14% | 8.00% | 3.95% | 2.07% | 2.51% | 2.93% | 1.73% | 2.02% | 1.86% | 0.21% | 0.00% |
QQQ Invesco QQQ | 0.59% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
IVAL vs. QQQ - Drawdown Comparison
The maximum IVAL drawdown since its inception was -46.09%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for IVAL and QQQ. For additional features, visit the drawdowns tool.
Volatility
IVAL vs. QQQ - Volatility Comparison
The current volatility for Alpha Architect International Quantitative Value ETF (IVAL) is 4.38%, while Invesco QQQ (QQQ) has a volatility of 5.18%. This indicates that IVAL experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.