SNPE vs. QVAL
Compare and contrast key facts about Xtrackers S&P 500 ESG ETF (SNPE) and Alpha Architect U.S. Quantitative Value ETF (QVAL).
SNPE and QVAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both SNPE and QVAL 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: SNPE or QVAL.
Key characteristics
| SNPE | QVAL | |
|---|---|---|
| YTD Return | 26.25% | 15.14% |
| 1Y Return | 33.68% | 23.77% |
| 3Y Return (Ann) | 10.69% | 7.98% |
| 5Y Return (Ann) | 16.85% | 10.66% |
| Sharpe Ratio | 2.89 | 1.83 |
| Sortino Ratio | 3.84 | 2.66 |
| Omega Ratio | 1.54 | 1.31 |
| Calmar Ratio | 4.03 | 3.82 |
| Martin Ratio | 17.90 | 11.10 |
| Ulcer Index | 2.03% | 2.59% |
| Daily Std Dev | 12.55% | 15.72% |
| Max Drawdown | -33.37% | -51.49% |
| Current Drawdown | -0.35% | -1.69% |
Correlation
The correlation between SNPE and QVAL is 0.71, 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
SNPE vs. QVAL - Performance Comparison
In the year-to-date period, SNPE achieves a 26.25% return, which is significantly higher than QVAL's 15.14% 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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SNPE vs. QVAL - Expense Ratio Comparison
SNPE has a 0.10% expense ratio, which is lower than QVAL's 0.49% expense ratio.
Risk-Adjusted Performance
SNPE vs. QVAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers S&P 500 ESG ETF (SNPE) and Alpha Architect U.S. Quantitative Value ETF (QVAL). 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
SNPE vs. QVAL - Dividend Comparison
SNPE's dividend yield for the trailing twelve months is around 1.11%, less than QVAL's 1.63% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
SNPE Xtrackers S&P 500 ESG ETF | 1.11% | 1.32% | 1.65% | 1.08% | 1.43% | 1.20% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QVAL Alpha Architect U.S. Quantitative Value ETF | 1.63% | 1.76% | 2.00% | 1.22% | 1.86% | 1.99% | 1.64% | 1.07% | 1.30% | 1.37% | 0.15% |
Drawdowns
SNPE vs. QVAL - Drawdown Comparison
The maximum SNPE drawdown since its inception was -33.37%, smaller than the maximum QVAL drawdown of -51.49%. Use the drawdown chart below to compare losses from any high point for SNPE and QVAL. For additional features, visit the drawdowns tool.
Volatility
SNPE vs. QVAL - Volatility Comparison
Xtrackers S&P 500 ESG ETF (SNPE) and Alpha Architect U.S. Quantitative Value ETF (QVAL) have volatilities of 3.87% and 4.03%, 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.