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DEF vs. QUS
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DEF vs. QUS

Last updated Jun 4, 2026

DEF (Invesco Defensive Equity ETF) and QUS (SPDR MSCI USA StrategicFactors ETF) are both Large Cap Growth Equities funds - DEF tracks the Invesco Defensive Equity Index while QUS tracks the MSCI USA Factor Mix A-Series Capped (USD). Both are passively managed. Over the past 10 years, DEF returned 10.28%/yr vs 13.67%/yr for QUS. Their correlation of 0.81 suggests significant overlap in exposure. DEF charges 0.53%/yr vs 0.15%/yr for QUS.

Performance

DEF vs. QUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Defensive Equity ETF (DEF) and SPDR MSCI USA StrategicFactors ETF (QUS). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, DEF achieves a -2.29% return, which is significantly lower than QUS's 6.67% return. Over the past 10 years, DEF has underperformed QUS with an annualized return of 10.28%, while QUS has yielded a comparatively higher 13.67% annualized return.

DEF

1D
0.04%
1M
0.44%
YTD
-2.29%
6M
-2.55%
1Y
4.21%
3Y*
10.86%
5Y*
7.41%
10Y*
10.28%

QUS

1D
-0.43%
1M
2.68%
YTD
6.67%
6M
6.93%
1Y
17.65%
3Y*
17.53%
5Y*
11.08%
10Y*
13.67%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DEF vs. QUS - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
DEF
Invesco Defensive Equity ETF		-2.29%11.71%13.18%10.58%-7.67%24.93%7.61%27.98%-3.96%21.52%
QUS
SPDR MSCI USA StrategicFactors ETF		6.67%14.13%18.99%21.78%-14.15%26.72%12.40%32.45%-3.66%21.67%

Correlation

The correlation between DEF and QUS is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.84

Correlation (3Y)
Calculated over the trailing 3-year period

0.88

Correlation (5Y)
Calculated over the trailing 5-year period

0.90

Correlation (10Y)
Calculated over the trailing 10-year period

0.87

Correlation (All Time)
Calculated using the full available price history since Apr 17, 2015

0.81

The correlation between DEF and QUS has been stable across timeframes, ranging from 0.81 to 0.90 - a consistent structural relationship.

DEF vs. QUS - Sectors Allocation Comparison

Sectors
DEF
QUS

Healthcare

16.8%
13.4%

Financial Services

16.1%
14.6%

Industrials

15.6%
8.6%

Consumer Defensive

12.9%
9.2%

Technology

12.1%
26.3%

Consumer Cyclical

10.1%
5.8%

Utilities

4.8%
3.6%

Communication Services

4.7%
10.2%

Real Estate

3.8%
1.4%

Basic Materials

2.1%
2.3%

Energy

1.0%
4.6%

Healthcare

DEF
16.8%
QUS
13.4%

Financial Services

DEF
16.1%
QUS
14.6%

Industrials

DEF
15.6%
QUS
8.6%

Consumer Defensive

DEF
12.9%
QUS
9.2%

Technology

DEF
12.1%
QUS
26.3%

Consumer Cyclical

DEF
10.1%
QUS
5.8%

Utilities

DEF
4.8%
QUS
3.6%

Communication Services

DEF
4.7%
QUS
10.2%

Real Estate

DEF
3.8%
QUS
1.4%

Basic Materials

DEF
2.1%
QUS
2.3%

Energy

DEF
1.0%
QUS
4.6%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco Defensive Equity ETF

SPDR MSCI USA StrategicFactors ETF

Often compared with DEF:
DEF vs. SCHDDEF vs. NOCDEF vs. SPYDEF vs. JHQAXDEF vs. QQQDEF vs. SPLVDEF vs. PPA
Often compared with QUS:
QUS vs. IVVQUS vs. QUALQUS vs. SPYQUS vs. JQUAQUS vs. VOOQUS vs. DGTQUS vs. BERZ

Return for Risk

DEF vs. QUS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DEF
DEF Risk / Return Rank: 1414
Overall Rank
DEF Sharpe Ratio Rank: 1414
Sharpe Ratio Rank
DEF Sortino Ratio Rank: 1313
Sortino Ratio Rank
DEF Omega Ratio Rank: 1313
Omega Ratio Rank
DEF Calmar Ratio Rank: 1414
Calmar Ratio Rank
DEF Martin Ratio Rank: 1515
Martin Ratio Rank
QUS
QUS Risk / Return Rank: 5757
Overall Rank
QUS Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
QUS Sortino Ratio Rank: 5858
Sortino Ratio Rank
QUS Omega Ratio Rank: 5555
Omega Ratio Rank
QUS Calmar Ratio Rank: 5252
Calmar Ratio Rank
QUS Martin Ratio Rank: 6363
Martin Ratio Rank
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.

DEF vs. QUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Defensive Equity ETF (DEF) and SPDR MSCI USA StrategicFactors ETF (QUS). 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.

DEFQUSDifference
Sharpe ratioReturn per unit of total volatility
0.36
1.95

-1.59

Sortino ratioReturn per unit of downside risk
0.61
2.81

-2.19

Omega ratioGain probability vs. loss probability

1.07

1.35

-0.28

Calmar ratioReturn relative to maximum drawdown

0.43

2.59

-2.15

Martin ratioReturn relative to average drawdown

1.18

11.54

-10.36

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DEF vs. QUS - Sharpe Ratio Comparison

The current DEF Sharpe Ratio is 0.36, which is lower than the QUS Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of DEF and QUS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

DEFQUSDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.36

1.95

-1.59

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.54

0.78

-0.24

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.64

0.83

-0.19

Sharpe Ratio (All Time)

Calculated using the full available price history

0.54

0.77

-0.23

Drawdowns

DEF vs. QUS - Drawdown Comparison

The maximum DEF drawdown since its inception was -47.91%, which is greater than QUS's maximum drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for DEF and QUS.

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Drawdown Indicators

DEFQUSDifference

Max Drawdown

Largest peak-to-trough decline

-47.91%

-33.78%

-14.13%

Max Drawdown (1Y)

Largest decline over 1 year

-9.76%

-6.85%

-2.91%

Max Drawdown (3Y)

Largest decline over 3 years

-15.00%

-13.94%

-1.06%

Max Drawdown (5Y)

Largest decline over 5 years

-17.75%

-22.30%

+4.55%

Max Drawdown (10Y)

Largest decline over 10 years

-36.53%

-33.78%

-2.75%

Current Drawdown

Current decline from peak

-6.44%

-0.50%

-5.94%

Average Drawdown

Average peak-to-trough decline

-6.24%

-3.70%

-2.54%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.59%

1.53%

+2.06%

Volatility

DEF vs. QUS - Volatility Comparison

Invesco Defensive Equity ETF (DEF) has a higher volatility of 3.12% compared to SPDR MSCI USA StrategicFactors ETF (QUS) at 1.78%. This indicates that DEF's price experiences larger fluctuations and is considered to be riskier than QUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DEFQUSDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.12%

1.78%

+1.34%

Volatility (6M)

Calculated over the trailing 6-month period

8.80%

6.66%

+2.14%

Volatility (1Y)

Calculated over the trailing 1-year period

11.73%

9.09%

+2.64%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.92%

14.33%

-0.41%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.05%

16.42%

-0.37%

DEF vs. QUS - Expense Ratio Comparison

DEF has a 0.53% expense ratio, which is higher than QUS's 0.15% expense ratio.

Dividends

DEF vs. QUS - Dividend Comparison

DEF's dividend yield for the trailing twelve months is around 0.96%, less than QUS's 1.31% yield.

PositionTTM20252024202320222021202020192018201720162015
DEF
Invesco Defensive Equity ETF		0.96%0.94%0.79%1.60%1.48%1.06%1.34%1.16%1.39%1.63%2.18%3.31%
QUS
SPDR MSCI USA StrategicFactors ETF		1.31%1.38%1.49%1.57%1.68%1.27%1.73%1.81%2.12%1.86%2.07%1.48%

Frequently Asked Questions

DEF and QUS have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

DEF has higher volatility (3.12%) compared to QUS (1.78%). In terms of maximum drawdown, DEF dropped -47.91% vs QUS's -33.78%.

On 10-year performance, QUS leads with 13.67% vs 10.28% for DEF. On fees, QUS is cheaper at 0.15% per year. On volatility, QUS has been the lower-risk option at 1.78%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, QUS has performed better with a 13.67% return vs 10.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QUS is cheaper with a 0.15% expense ratio, compared with 0.53% for DEF.

QUS has the higher dividend yield at 1.31%, compared with 0.96% for DEF.

DEF tracks Invesco Defensive Equity Index, while QUS tracks MSCI USA Factor Mix A-Series Capped (USD). They also come from different issuers: Invesco and State Street. Their fees differ too: 0.53% for DEF and 0.15% for QUS.

QUS currently has the higher Sharpe Ratio (1.95 vs 0.36), 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.

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