MFDX vs. QVML

Last updated Jun 12, 2026

MFDX (PIMCO RAFI Dynamic Multi-Factor International Equity ETF) and QVML (Invesco S&P 500 QVM Multi-factor ETF) are both exchange-traded funds - MFDX is a Foreign Large Cap Equities fund tracking the RAFI Dynamic Multi-Factor Developed Ex-U.S. Index, while QVML is a Multi-factor fund tracking the S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. Both are passively managed. Over the past 3 years, MFDX returned 18.33%/yr vs 21.24%/yr for QVML. A 0.73 correlation means they provide meaningful diversification when combined. MFDX charges 0.39%/yr vs 0.11%/yr for QVML.

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.

Returns By Period

In the year-to-date period, MFDX achieves a 9.89% return, which is significantly higher than QVML's 8.90% return.

MFDX

• 1D: 2.81%
• 1M: -0.56%
• YTD: 9.89%
• 6M: 11.08%
• 1Y: 22.69%
• 3Y*: 18.33%
• 5Y*: 9.94%
• 10Y*: —

QVML

• 1D: 1.62%
• 1M: 0.11%
• YTD: 8.90%
• 6M: 8.56%
• 1Y: 24.20%
• 3Y*: 21.24%
• 5Y*: —
• 10Y*: —

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

MFDX vs. QVML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	9.89%	34.27%	4.40%	17.54%	-10.27%	1.03%
QVML Invesco S&P 500 QVM Multi-factor ETF	8.90%	17.74%	25.87%	22.19%	-16.25%	12.72%

Correlation

The correlation between MFDX and QVML is 0.72, 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	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021	0.73

The correlation between MFDX and QVML has been stable across timeframes, ranging from 0.66 to 0.73 - a consistent structural relationship.

MFDX vs. QVML - Sectors Allocation Comparison

Sectors	MFDX	QVML
Industrials	19.9%	8.7%
Financial Services	16.4%	12.8%
Basic Materials	10.8%	1.9%
Consumer Cyclical	8.6%	7.3%
Consumer Defensive	8.0%	5.5%
Technology	7.1%	35.5%
Communication Services	7.0%	11.9%
Energy	6.8%	3.6%
Utilities	6.4%	2.5%
Healthcare	6.0%	8.7%
Real Estate	3.0%	1.6%

Return for Risk

MFDX vs. QVML — Risk / Return Rank

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

MFDX

MFDX Risk / Return Rank: 55
MFDX Sharpe Ratio Rank: 57
MFDX Sortino Ratio Rank: 56
MFDX Omega Ratio Rank: 56
MFDX Calmar Ratio Rank: 51
MFDX Martin Ratio Rank: 57

QVML

QVML Risk / Return Rank: 74
QVML Sharpe Ratio Rank: 75
QVML Sortino Ratio Rank: 74
QVML Omega Ratio Rank: 74
QVML Calmar Ratio Rank: 66
QVML Martin Ratio Rank: 79

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.

MFDX vs. QVML - Risk-Adjusted Trends 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.

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.

	MFDX	QVML	Difference
Sharpe ratio: Return per unit of total volatility	1.60	2.03	-0.43
Sortino ratio: Return per unit of downside risk	2.26	2.79	-0.54
Omega ratio: Gain probability vs. loss probability	1.29	1.36	-0.07
Calmar ratio: Return relative to maximum drawdown	2.14	2.78	-0.65
Martin ratio: Return relative to average drawdown	8.36	12.73	-4.37

MFDX vs. QVML - Sharpe Ratio Comparison

The current MFDX Sharpe Ratio is 1.60, which is comparable to the QVML Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of MFDX and QVML, 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

MFDX vs. QVML - Drawdown Comparison

The maximum MFDX drawdown since its inception was -36.05%, which is greater than QVML's maximum drawdown of -23.52%. Use the drawdown chart below to compare losses from any high point for MFDX and QVML.

Drawdown Indicators

	MFDX	QVML	Difference
Max Drawdown Largest peak-to-trough decline	-36.05%	-23.52%	-12.53%
Max Drawdown (1Y) Largest decline over 1 year	-10.66%	-8.73%	-1.93%
Max Drawdown (3Y) Largest decline over 3 years	-11.62%	-18.71%	+7.09%
Max Drawdown (5Y) Largest decline over 5 years	-25.58%	—	—
Current Drawdown Current decline from peak	-1.70%	-2.61%	+0.91%
Average Drawdown Average peak-to-trough decline	-6.49%	-5.39%	-1.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	1.91%	+0.81%

Volatility

MFDX vs. QVML - Volatility Comparison

PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) has a higher volatility of 5.14% compared to Invesco S&P 500 QVM Multi-factor ETF (QVML) at 4.01%. This indicates that MFDX's price experiences larger fluctuations and is considered to be riskier than QVML based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MFDX	QVML	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.14%	4.01%	+1.13%
Volatility (6M) Calculated over the trailing 6-month period	11.98%	9.51%	+2.47%
Volatility (1Y) Calculated over the trailing 1-year period	14.23%	12.00%	+2.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.12%	16.60%	-1.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.44%	16.60%	-0.16%

MFDX vs. QVML - Expense Ratio Comparison

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

Dividends

MFDX vs. QVML - Dividend Comparison

MFDX's dividend yield for the trailing twelve months is around 2.79%, more than QVML's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	2.79%	2.97%	3.16%	3.12%	2.85%	2.99%	1.58%	2.88%	2.13%	0.71%
QVML Invesco S&P 500 QVM Multi-factor ETF	1.01%	1.10%	1.15%	1.43%	1.72%	0.62%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MFDX and QVML in my portfolio?

MFDX and QVML have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MFDX or QVML?

MFDX has higher volatility (5.14%) compared to QVML (4.01%). In terms of maximum drawdown, MFDX dropped -36.05% vs QVML's -23.52%.

Which ETF is better, MFDX or QVML?

On 3-year performance, QVML leads with 21.24% vs 18.33% for MFDX. On fees, QVML is cheaper at 0.11% per year. On volatility, QVML has been the lower-risk option at 4.01%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MFDX or QVML?

Over the 3-year period, QVML has performed better with a 21.24% return vs 18.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MFDX or QVML?

QVML is cheaper with a 0.11% expense ratio, compared with 0.39% for MFDX.

Which ETF pays a higher dividend yield, MFDX or QVML?

MFDX has the higher dividend yield at 2.79%, compared with 1.01% for QVML.

What is the main difference between MFDX and QVML?

MFDX is categorized as Foreign Large Cap Equities, while QVML is Multi-factor. MFDX tracks RAFI Dynamic Multi-Factor Developed Ex-U.S. Index, while QVML tracks S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. They also come from different issuers: PIMCO and Invesco. Their fees differ too: 0.39% for MFDX and 0.11% for QVML.

Which has better risk-adjusted returns?

QVML currently has the higher Sharpe Ratio (2.03 vs 1.60), 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.