QVAL vs. SNPE
Compare and contrast key facts about Alpha Architect U.S. Quantitative Value ETF (QVAL) and Xtrackers S&P 500 ESG ETF (SNPE).
QVAL and SNPE 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. SNPE is a passively managed fund by Deutsche Bank that tracks the performance of the S&P 500 ESG Index. It was launched on Jun 26, 2019. Both QVAL and SNPE 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 SNPE.
Key characteristics
| QVAL | SNPE | |
|---|---|---|
| YTD Return | 10.06% | 11.77% |
| 1Y Return | 38.16% | 28.11% |
| 3Y Return (Ann) | 10.97% | 11.79% |
| Sharpe Ratio | 2.42 | 2.43 |
| Daily Std Dev | 16.52% | 12.03% |
| Max Drawdown | -51.49% | -33.37% |
| Current Drawdown | -1.16% | 0.00% |
Correlation
The correlation between QVAL and SNPE is 0.72, 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
QVAL vs. SNPE - Performance Comparison
In the year-to-date period, QVAL achieves a 10.06% return, which is significantly lower than SNPE's 11.77% 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. SNPE - Expense Ratio Comparison
QVAL has a 0.49% expense ratio, which is higher than SNPE's 0.10% expense ratio.
Risk-Adjusted Performance
QVAL vs. SNPE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Value ETF (QVAL) and Xtrackers S&P 500 ESG ETF (SNPE). 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. SNPE - Dividend Comparison
QVAL's dividend yield for the trailing twelve months is around 1.50%, more than SNPE's 1.16% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SNPE Xtrackers S&P 500 ESG ETF | 1.16% | 1.32% | 1.65% | 1.08% | 1.42% | 1.20% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QVAL vs. SNPE - Drawdown Comparison
The maximum QVAL drawdown since its inception was -51.49%, which is greater than SNPE's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for QVAL and SNPE. For additional features, visit the drawdowns tool.
Volatility
QVAL vs. SNPE - Volatility Comparison
Alpha Architect U.S. Quantitative Value ETF (QVAL) has a higher volatility of 3.85% compared to Xtrackers S&P 500 ESG ETF (SNPE) at 3.59%. This indicates that QVAL's price experiences larger fluctuations and is considered to be riskier than SNPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.