QVAL vs. QQQ
Compare and contrast key facts about Alpha Architect U.S. Quantitative Value ETF (QVAL) and Invesco QQQ (QQQ).
QVAL and QQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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 QVAL 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: QVAL or QQQ.
Key characteristics
| QVAL | QQQ | |
|---|---|---|
| YTD Return | 16.73% | 26.02% |
| 1Y Return | 30.65% | 36.73% |
| 3Y Return (Ann) | 8.50% | 9.97% |
| 5Y Return (Ann) | 11.27% | 21.44% |
| 10Y Return (Ann) | 7.77% | 18.42% |
| Sharpe Ratio | 2.09 | 2.28 |
| Sortino Ratio | 3.01 | 2.98 |
| Omega Ratio | 1.36 | 1.41 |
| Calmar Ratio | 4.38 | 2.94 |
| Martin Ratio | 12.76 | 10.71 |
| Ulcer Index | 2.58% | 3.72% |
| Daily Std Dev | 15.70% | 17.35% |
| Max Drawdown | -51.49% | -82.98% |
| Current Drawdown | -0.34% | -0.06% |
Correlation
The correlation between QVAL and QQQ is 0.58, 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
QVAL vs. QQQ - Performance Comparison
In the year-to-date period, QVAL achieves a 16.73% return, which is significantly lower than QQQ's 26.02% return. Over the past 10 years, QVAL has underperformed QQQ with an annualized return of 7.77%, while QQQ has yielded a comparatively higher 18.42% annualized 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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QVAL vs. QQQ - Expense Ratio Comparison
QVAL has a 0.49% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Risk-Adjusted Performance
QVAL vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Value ETF (QVAL) 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
QVAL vs. QQQ - Dividend Comparison
QVAL's dividend yield for the trailing twelve months is around 1.60%, more than QQQ's 0.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.60% | 1.76% | 2.00% | 1.22% | 1.86% | 1.99% | 1.64% | 1.07% | 1.30% | 1.37% | 0.15% | 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
QVAL vs. QQQ - Drawdown Comparison
The maximum QVAL drawdown since its inception was -51.49%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for QVAL and QQQ. For additional features, visit the drawdowns tool.
Volatility
QVAL vs. QQQ - Volatility Comparison
The current volatility for Alpha Architect U.S. Quantitative Value ETF (QVAL) is 4.00%, while Invesco QQQ (QQQ) has a volatility of 5.18%. This indicates that QVAL 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.