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VFVA vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VFVA vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Value Factor ETF (VFVA) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.86%
10.79%
VFVA
QQQ

Returns By Period

In the year-to-date period, VFVA achieves a 12.55% return, which is significantly lower than QQQ's 23.47% return.


VFVA

YTD

12.55%

1M

1.15%

6M

7.86%

1Y

24.57%

5Y (annualized)

13.55%

10Y (annualized)

N/A

QQQ

YTD

23.47%

1M

1.82%

6M

10.79%

1Y

29.73%

5Y (annualized)

20.93%

10Y (annualized)

18.10%

Key characteristics


VFVAQQQ
Sharpe Ratio1.491.80
Sortino Ratio2.222.40
Omega Ratio1.271.32
Calmar Ratio2.742.31
Martin Ratio7.368.39
Ulcer Index3.39%3.73%
Daily Std Dev16.68%17.41%
Max Drawdown-48.58%-82.98%
Current Drawdown-2.52%-2.08%

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VFVA vs. QQQ - Expense Ratio Comparison

VFVA has a 0.13% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VFVA: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Correlation

-0.50.00.51.00.6

The correlation between VFVA and QQQ is 0.55, 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.

Risk-Adjusted Performance

VFVA vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Value Factor ETF (VFVA) 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.


Sharpe ratio
The chart of Sharpe ratio for VFVA, currently valued at 1.49, compared to the broader market0.002.004.006.001.491.80
The chart of Sortino ratio for VFVA, currently valued at 2.22, compared to the broader market-2.000.002.004.006.008.0010.0012.002.222.40
The chart of Omega ratio for VFVA, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.32
The chart of Calmar ratio for VFVA, currently valued at 2.74, compared to the broader market0.005.0010.0015.002.742.31
The chart of Martin ratio for VFVA, currently valued at 7.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.368.39
VFVA
QQQ

The current VFVA Sharpe Ratio is 1.49, which is comparable to the QQQ Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of VFVA and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.49
1.80
VFVA
QQQ

Dividends

VFVA vs. QQQ - Dividend Comparison

VFVA's dividend yield for the trailing twelve months is around 2.28%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
VFVA
Vanguard U.S. Value Factor ETF
2.28%2.45%2.21%1.68%2.04%2.09%1.65%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

VFVA vs. QQQ - Drawdown Comparison

The maximum VFVA drawdown since its inception was -48.58%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for VFVA and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.52%
-2.08%
VFVA
QQQ

Volatility

VFVA vs. QQQ - Volatility Comparison

Vanguard U.S. Value Factor ETF (VFVA) has a higher volatility of 6.40% compared to Invesco QQQ (QQQ) at 5.66%. This indicates that VFVA's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
6.40%
5.66%
VFVA
QQQ