AAVM vs. QVMS

Last updated Jul 14, 2026

AAVM (Alpha Architect Global Factor Equity ETF) and QVMS (Invesco S&P SmallCap 600 QVM Multi-factor ETF) are both Multi-factor funds. AAVM is actively managed, while QVMS is passively managed. Over the past 5 years, AAVM returned 6.43%/yr vs 8.74%/yr for QVMS. A 0.68 correlation means they provide meaningful diversification when combined. AAVM charges 0.45%/yr vs 0.15%/yr for QVMS.

Performance

AAVM vs. QVMS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect Global Factor Equity ETF (AAVM) and Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AAVM achieves a 12.86% return, which is significantly lower than QVMS's 21.58% return.

AAVM

• 1D: -0.72%
• 1M: -3.11%
• 6M: 6.92%
• YTD: 12.86%
• 1Y: 26.91%
• 3Y*: 16.35%
• 5Y*: 6.43%
• 10Y*: —

QVMS

• 1D: -0.51%
• 1M: 0.78%
• 6M: 15.63%
• YTD: 21.58%
• 1Y: 30.36%
• 3Y*: 14.95%
• 5Y*: 8.74%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AAVM vs. QVMS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
AAVM Alpha Architect Global Factor Equity ETF	12.86%	18.54%	12.07%	-0.74%	-7.00%	-2.12%
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	21.58%	5.56%	9.50%	16.89%	-14.61%	4.82%

Correlation

The correlation between AAVM and QVMS is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021	0.68

The correlation between AAVM and QVMS shifts across timeframes, from 0.68 (5 years) to 0.78 (3 years), reflecting how their relationship changes across market environments.

AAVM vs. QVMS - Sectors Allocation Comparison

Sectors	AAVM	QVMS
Industrials	25.5%	16.3%
Technology	13.6%	16.7%
Consumer Cyclical	13.5%	13.4%
Energy	12.6%	5.6%
Basic Materials	12.2%	5.0%
Healthcare	5.8%	11.1%
Communication Services	5.8%	1.9%
Consumer Defensive	4.7%	2.8%
Utilities	3.8%	2.1%
Financial Services	1.3%	18.0%
Real Estate	1.3%	7.1%

Return for Risk

AAVM vs. QVMS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AAVM

AAVM Risk / Return Rank: 65
AAVM Sharpe Ratio Rank: 65
AAVM Sortino Ratio Rank: 65
AAVM Omega Ratio Rank: 66
AAVM Calmar Ratio Rank: 63
AAVM Martin Ratio Rank: 68

QVMS

QVMS Risk / Return Rank: 72
QVMS Sharpe Ratio Rank: 67
QVMS Sortino Ratio Rank: 72
QVMS Omega Ratio Rank: 62
QVMS Calmar Ratio Rank: 82
QVMS Martin Ratio Rank: 78

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AAVM vs. QVMS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Global Factor Equity ETF (AAVM) and Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	AAVM	QVMS	Difference
Sharpe ratio: Return per unit of total volatility	1.68	1.72	-0.04
Sortino ratio: Return per unit of downside risk	2.40	2.58	-0.18
Omega ratio: Gain probability vs. loss probability	1.31	1.30	+0.01
Calmar ratio: Return relative to maximum drawdown	2.49	3.47	-0.98
Martin ratio: Return relative to average drawdown	9.77	11.73	-1.96

AAVM vs. QVMS - Sharpe Ratio Comparison

The current AAVM Sharpe Ratio is 1.68, which is comparable to the QVMS Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of AAVM and QVMS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AAVM vs. QVMS - Drawdown Comparison

The maximum AAVM drawdown since its inception was -34.71%, which is greater than QVMS's maximum drawdown of -28.05%. Use the drawdown chart below to compare losses from any high point for AAVM and QVMS.

Drawdown Indicators

	AAVM	QVMS	Difference
Max Drawdown Largest peak-to-trough decline	-34.71%	-28.05%	-6.66%
Max Drawdown (1Y) Largest decline over 1 year	-10.85%	-8.78%	-2.07%
Max Drawdown (3Y) Largest decline over 3 years	-20.23%	-28.05%	+7.82%
Max Drawdown (5Y) Largest decline over 5 years	-23.73%	-28.05%	+4.32%
Current Drawdown Current decline from peak	-4.31%	-2.73%	-1.58%
Average Drawdown Average peak-to-trough decline	-13.19%	-8.93%	-4.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.76%	2.60%	+0.16%

Volatility

AAVM vs. QVMS - Volatility Comparison

Alpha Architect Global Factor Equity ETF (AAVM) and Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) have volatilities of 4.59% and 4.77%, 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.

Volatility by Period

	AAVM	QVMS	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.59%	4.77%	-0.18%
Volatility (6M) Calculated over the trailing 6-month period	13.75%	12.40%	+1.35%
Volatility (1Y) Calculated over the trailing 1-year period	16.10%	17.73%	-1.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.77%	21.16%	-5.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.94%	21.16%	-6.22%

AAVM vs. QVMS - Expense Ratio Comparison

AAVM has a 0.45% expense ratio, which is higher than QVMS's 0.15% expense ratio.

Dividends

AAVM vs. QVMS - Dividend Comparison

AAVM's dividend yield for the trailing twelve months is around 1.82%, more than QVMS's 1.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
AAVM Alpha Architect Global Factor Equity ETF	1.82%	2.05%	2.54%	4.13%	2.24%	0.82%	0.00%	1.76%	0.93%	0.81%
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.16%	1.10%	1.53%	1.51%	1.58%	0.64%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AAVM and QVMS in my portfolio?

AAVM and QVMS have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AAVM or QVMS?

QVMS has higher volatility (4.77%) compared to AAVM (4.59%). In terms of maximum drawdown, AAVM dropped -34.71% vs QVMS's -28.05%.

Which ETF is better, AAVM or QVMS?

On 5-year performance, QVMS leads with 8.74% vs 6.43% for AAVM. On fees, QVMS is cheaper at 0.15% per year. On volatility, AAVM has been the lower-risk option at 4.59%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AAVM or QVMS?

Over the 5-year period, QVMS has performed better with a 8.74% return vs 6.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AAVM or QVMS?

QVMS is cheaper with a 0.15% expense ratio, compared with 0.45% for AAVM.

Which ETF pays a higher dividend yield, AAVM or QVMS?

AAVM has the higher dividend yield at 1.82%, compared with 1.16% for QVMS.

What is the main difference between AAVM and QVMS?

They also come from different issuers: Alpha Architect and Invesco. Their fees differ too: 0.45% for AAVM and 0.15% for QVMS.

Which has better risk-adjusted returns?

QVMS currently has the higher Sharpe Ratio (1.72 vs 1.68), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.