MFDX vs. QVML
Compare and contrast key facts about PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) and Invesco S&P 500 QVM Multi-factor ETF (QVML).
MFDX and QVML are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MFDX is a passively managed fund by PIMCO that tracks the performance of the RAFI Dynamic Multi-Factor Developed Ex-U.S. Index. It was launched on Aug 31, 2017. QVML is a passively managed fund by Invesco that tracks the performance of the S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. It was launched on Jun 30, 2021. Both MFDX and QVML are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MFDX or QVML.
Key characteristics
| MFDX | QVML | |
|---|---|---|
| YTD Return | 8.36% | 28.25% |
| 1Y Return | 18.94% | 37.90% |
| 3Y Return (Ann) | 4.11% | 10.45% |
| Sharpe Ratio | 1.63 | 3.25 |
| Sortino Ratio | 2.30 | 4.31 |
| Omega Ratio | 1.28 | 1.61 |
| Calmar Ratio | 2.88 | 4.69 |
| Martin Ratio | 9.16 | 21.64 |
| Ulcer Index | 2.16% | 1.85% |
| Daily Std Dev | 12.10% | 12.27% |
| Max Drawdown | -35.50% | -23.53% |
| Current Drawdown | -5.42% | -0.13% |
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.
Performance
MFDX vs. QVML - Performance Comparison
In the year-to-date period, MFDX achieves a 8.36% return, which is significantly lower than QVML's 28.25% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MFDX vs. QVML - Expense Ratio Comparison
MFDX has a 0.39% expense ratio, which is higher than QVML's 0.11% expense ratio.
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.
Dividends
MFDX vs. QVML - Dividend Comparison
MFDX's dividend yield for the trailing twelve months is around 3.13%, more than QVML's 1.11% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF | 3.13% | 3.12% | 2.85% | 2.99% | 1.58% | 2.88% | 2.98% | 0.71% |
QVML Invesco S&P 500 QVM Multi-factor ETF | 1.11% | 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.
Volatility
MFDX vs. QVML - Volatility Comparison
The current volatility for PIMCO RAFI Dynamic Multi-Factor International Equity ETF (MFDX) is 3.50%, while Invesco S&P 500 QVM Multi-factor ETF (QVML) has a volatility of 3.88%. This indicates that MFDX experiences smaller price fluctuations and is considered to be less risky than QVML based on this measure. The chart below showcases a comparison of their rolling one-month volatility.