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MFDX vs. QVML
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MFDX and QVML is 0.76, 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.


-0.50.00.51.00.8

Performance

MFDX vs. QVML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) and Invesco S&P 500 QVM Multi-factor ETF (QVML). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.33%
8.49%
MFDX
QVML

Key characteristics

Sharpe Ratio

MFDX:

0.44

QVML:

2.19

Sortino Ratio

MFDX:

0.68

QVML:

2.93

Omega Ratio

MFDX:

1.08

QVML:

1.41

Calmar Ratio

MFDX:

0.56

QVML:

3.21

Martin Ratio

MFDX:

1.67

QVML:

14.30

Ulcer Index

MFDX:

3.16%

QVML:

1.92%

Daily Std Dev

MFDX:

11.95%

QVML:

12.52%

Max Drawdown

MFDX:

-35.50%

QVML:

-23.53%

Current Drawdown

MFDX:

-8.95%

QVML:

-2.43%

Returns By Period

In the year-to-date period, MFDX achieves a 4.32% return, which is significantly lower than QVML's 27.08% return.


MFDX

YTD

4.32%

1M

-2.20%

6M

-0.33%

1Y

5.04%

5Y*

5.58%

10Y*

N/A

QVML

YTD

27.08%

1M

-0.54%

6M

8.50%

1Y

27.20%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


MFDX vs. QVML - Expense Ratio Comparison

MFDX has a 0.39% expense ratio, which is higher than QVML's 0.11% expense ratio.


MFDX
PIMCO RAFI Dynamic Multi-Factor International Equity ETF
Expense ratio chart for MFDX: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for QVML: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

MFDX vs. QVML - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) and Invesco S&P 500 QVM Multi-factor ETF (QVML). 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 MFDX, currently valued at 0.44, compared to the broader market0.002.004.000.442.19
The chart of Sortino ratio for MFDX, currently valued at 0.68, compared to the broader market-2.000.002.004.006.008.0010.000.682.93
The chart of Omega ratio for MFDX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.41
The chart of Calmar ratio for MFDX, currently valued at 0.56, compared to the broader market0.005.0010.0015.000.563.21
The chart of Martin ratio for MFDX, currently valued at 1.67, compared to the broader market0.0020.0040.0060.0080.00100.001.6714.30
MFDX
QVML

The current MFDX Sharpe Ratio is 0.44, which is lower than the QVML Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of MFDX and QVML, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.44
2.19
MFDX
QVML

Dividends

MFDX vs. QVML - Dividend Comparison

MFDX's dividend yield for the trailing twelve months is around 3.25%, more than QVML's 0.83% yield.


TTM2023202220212020201920182017
MFDX
PIMCO RAFI Dynamic Multi-Factor International Equity ETF
3.25%3.12%2.85%2.99%1.58%2.88%2.98%0.71%
QVML
Invesco S&P 500 QVM Multi-factor ETF
0.83%1.43%1.72%0.62%0.00%0.00%0.00%0.00%

Drawdowns

MFDX vs. QVML - Drawdown Comparison

The maximum MFDX drawdown since its inception was -35.50%, which is greater than QVML's maximum drawdown of -23.53%. Use the drawdown chart below to compare losses from any high point for MFDX and QVML. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.95%
-2.43%
MFDX
QVML

Volatility

MFDX vs. QVML - Volatility Comparison

PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) and Invesco S&P 500 QVM Multi-factor ETF (QVML) have volatilities of 3.50% and 3.62%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.50%
3.62%
MFDX
QVML
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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