QVAL vs. QQQJ
Compare and contrast key facts about Alpha Architect U.S. Quantitative Value ETF (QVAL) and Invesco NASDAQ Next Gen 100 ETF (QQQJ).
QVAL and QQQJ 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. QQQJ is a passively managed fund by Invesco that tracks the performance of the NASDAQ Next Generation 100 Index. It was launched on Oct 13, 2020. Both QVAL and QQQJ 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 QQQJ.
Key characteristics
| QVAL | QQQJ | |
|---|---|---|
| YTD Return | 16.02% | 18.47% |
| 1Y Return | 32.16% | 36.06% |
| 3Y Return (Ann) | 8.81% | -3.15% |
| Sharpe Ratio | 1.94 | 2.19 |
| Sortino Ratio | 2.81 | 3.06 |
| Omega Ratio | 1.33 | 1.37 |
| Calmar Ratio | 4.07 | 1.03 |
| Martin Ratio | 11.86 | 11.62 |
| Ulcer Index | 2.58% | 2.98% |
| Daily Std Dev | 15.80% | 15.81% |
| Max Drawdown | -51.49% | -39.58% |
| Current Drawdown | -0.94% | -9.83% |
Correlation
The correlation between QVAL and QQQJ is 0.69, 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. QQQJ - Performance Comparison
In the year-to-date period, QVAL achieves a 16.02% return, which is significantly lower than QQQJ's 18.47% 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. QQQJ - Expense Ratio Comparison
QVAL has a 0.49% expense ratio, which is higher than QQQJ's 0.15% expense ratio.
Risk-Adjusted Performance
QVAL vs. QQQJ - 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 NASDAQ Next Gen 100 ETF (QQQJ). 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. QQQJ - Dividend Comparison
QVAL's dividend yield for the trailing twelve months is around 1.61%, more than QQQJ's 0.77% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.61% | 1.76% | 2.00% | 1.22% | 1.86% | 1.99% | 1.64% | 1.07% | 1.30% | 1.37% | 0.15% |
QQQJ Invesco NASDAQ Next Gen 100 ETF | 0.77% | 0.67% | 0.75% | 0.91% | 0.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QVAL vs. QQQJ - Drawdown Comparison
The maximum QVAL drawdown since its inception was -51.49%, which is greater than QQQJ's maximum drawdown of -39.58%. Use the drawdown chart below to compare losses from any high point for QVAL and QQQJ. For additional features, visit the drawdowns tool.
Volatility
QVAL vs. QQQJ - Volatility Comparison
The current volatility for Alpha Architect U.S. Quantitative Value ETF (QVAL) is 4.11%, while Invesco NASDAQ Next Gen 100 ETF (QQQJ) has a volatility of 4.76%. This indicates that QVAL experiences smaller price fluctuations and is considered to be less risky than QQQJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.