QVAL vs. VLUE
Compare and contrast key facts about Alpha Architect U.S. Quantitative Value ETF (QVAL) and iShares Edge MSCI USA Value Factor ETF (VLUE).
QVAL and VLUE 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. VLUE is a passively managed fund by iShares that tracks the performance of the MSCI USA Value Weighted Index. It was launched on Apr 16, 2013. Both QVAL and VLUE 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 VLUE.
Key characteristics
| QVAL | VLUE | |
|---|---|---|
| YTD Return | 16.02% | 13.63% |
| 1Y Return | 32.16% | 29.91% |
| 3Y Return (Ann) | 8.81% | 4.78% |
| 5Y Return (Ann) | 10.73% | 8.10% |
| 10Y Return (Ann) | 7.79% | 8.42% |
| Sharpe Ratio | 1.94 | 2.12 |
| Sortino Ratio | 2.81 | 2.97 |
| Omega Ratio | 1.33 | 1.37 |
| Calmar Ratio | 4.07 | 1.56 |
| Martin Ratio | 11.86 | 8.99 |
| Ulcer Index | 2.58% | 3.18% |
| Daily Std Dev | 15.80% | 13.47% |
| Max Drawdown | -51.49% | -39.47% |
| Current Drawdown | -0.94% | 0.00% |
Correlation
The correlation between QVAL and VLUE is 0.85, 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. VLUE - Performance Comparison
In the year-to-date period, QVAL achieves a 16.02% return, which is significantly higher than VLUE's 13.63% return. Over the past 10 years, QVAL has underperformed VLUE with an annualized return of 7.79%, while VLUE has yielded a comparatively higher 8.42% 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. VLUE - Expense Ratio Comparison
QVAL has a 0.49% expense ratio, which is higher than VLUE's 0.15% expense ratio.
Risk-Adjusted Performance
QVAL vs. VLUE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Value ETF (QVAL) and iShares Edge MSCI USA Value Factor ETF (VLUE). 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. VLUE - Dividend Comparison
QVAL's dividend yield for the trailing twelve months is around 1.61%, less than VLUE's 2.47% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
VLUE iShares Edge MSCI USA Value Factor ETF | 2.47% | 2.66% | 3.19% | 2.22% | 2.42% | 2.60% | 2.70% | 2.14% | 2.07% | 2.39% | 1.64% | 1.33% |
Drawdowns
QVAL vs. VLUE - Drawdown Comparison
The maximum QVAL drawdown since its inception was -51.49%, which is greater than VLUE's maximum drawdown of -39.47%. Use the drawdown chart below to compare losses from any high point for QVAL and VLUE. For additional features, visit the drawdowns tool.
Volatility
QVAL vs. VLUE - Volatility Comparison
Alpha Architect U.S. Quantitative Value ETF (QVAL) and iShares Edge MSCI USA Value Factor ETF (VLUE) have volatilities of 4.11% and 4.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.