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PHDG vs. QVMT
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PHDG vs. QVMT

Last updated Jun 5, 2026

PHDG (Invesco S&P 500 Downside Hedged ETF) and QVMT (Invesco S&P S&P 500 Concentrated QVM ETF) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while QVMT is a S&P 500 fund tracking the S&P 500 Quality, Value & Momentum Multi-factor Index. Both are passively managed. Over the past 10 years, PHDG returned 7.32%/yr vs 12.97%/yr for QVMT. At a 0.40 correlation, their price movements are largely independent. PHDG charges 0.39%/yr vs 0.13%/yr for QVMT.

Performance

PHDG vs. QVMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Downside Hedged ETF (PHDG) and Invesco S&P S&P 500 Concentrated QVM ETF (QVMT). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, PHDG achieves a 15.43% return, which is significantly lower than QVMT's 17.89% return. Over the past 10 years, PHDG has underperformed QVMT with an annualized return of 7.32%, while QVMT has yielded a comparatively higher 12.97% annualized return.

PHDG

1D
1.44%
1M
5.27%
YTD
15.43%
6M
13.92%
1Y
26.83%
3Y*
11.64%
5Y*
5.75%
10Y*
7.32%

QVMT

1D
0.63%
1M
4.60%
YTD
17.89%
6M
20.45%
1Y
36.46%
3Y*
23.12%
5Y*
11.59%
10Y*
12.97%
*Multi-year figures are annualized to reflect compound growth (CAGR)

PHDG vs. QVMT - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
PHDG
Invesco S&P 500 Downside Hedged ETF		15.43%2.72%10.95%8.18%-14.09%15.67%18.97%8.57%-2.44%15.89%
QVMT
Invesco S&P S&P 500 Concentrated QVM ETF		17.89%19.08%14.40%11.71%-5.61%35.27%-9.98%28.86%-9.51%18.77%

Correlation

The correlation between PHDG and QVMT is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.36

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

0.31

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

0.41

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

0.41

Correlation (All Time)
Calculated using the full available price history since Oct 12, 2015

0.40

The correlation between PHDG and QVMT shifts across timeframes, from 0.31 (3 years) to 0.41 (5 years), reflecting how their relationship changes across market environments.

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Invesco S&P 500 Downside Hedged ETF

Invesco S&P S&P 500 Concentrated QVM ETF

Often compared with PHDG:
PHDG vs. SPYPHDG vs. VOOPHDG vs. JEPIPHDG vs. DIVOPHDG vs. CPSMPHDG vs. DBEFPHDG vs. QQQ
Often compared with QVMT:
QVMT vs. SPMOQVMT vs. SPVMQVMT vs. VOOQVMT vs. PBFRQVMT vs. HIBLQVMT vs. XCLRQVMT vs. SPHQ

Return for Risk

PHDG vs. QVMT — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
PHDG
PHDG Risk / Return Rank: 9292
Overall Rank
PHDG Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
PHDG Sortino Ratio Rank: 9292
Sortino Ratio Rank
PHDG Omega Ratio Rank: 8989
Omega Ratio Rank
PHDG Calmar Ratio Rank: 9494
Calmar Ratio Rank
PHDG Martin Ratio Rank: 9494
Martin Ratio Rank
QVMT
QVMT Risk / Return Rank: 8989
Overall Rank
QVMT Sharpe Ratio Rank: 8989
Sharpe Ratio Rank
QVMT Sortino Ratio Rank: 9090
Sortino Ratio Rank
QVMT Omega Ratio Rank: 8585
Omega Ratio Rank
QVMT Calmar Ratio Rank: 9191
Calmar Ratio Rank
QVMT Martin Ratio Rank: 9090
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.

PHDG vs. QVMT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and Invesco S&P S&P 500 Concentrated QVM ETF (QVMT). 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.

PHDGQVMTDifference
Sharpe ratioReturn per unit of total volatility
3.03
2.95

+0.08

Sortino ratioReturn per unit of downside risk
4.47
4.19

+0.28

Omega ratioGain probability vs. loss probability

1.56

1.50

+0.05

Calmar ratioReturn relative to maximum drawdown

7.65

5.86

+1.79

Martin ratioReturn relative to average drawdown

28.46

20.82

+7.64

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

PHDG vs. QVMT - Sharpe Ratio Comparison

The current PHDG Sharpe Ratio is 3.03, which is comparable to the QVMT Sharpe Ratio of 2.95. The chart below compares the historical Sharpe Ratios of PHDG and QVMT, 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

PHDGQVMTDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

3.03

2.95

+0.08

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.53

0.67

-0.15

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.62

0.62

0.00

Sharpe Ratio (All Time)

Calculated using the full available price history

0.54

0.59

-0.05

Drawdowns

PHDG vs. QVMT - Drawdown Comparison

The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum QVMT drawdown of -48.05%. Use the drawdown chart below to compare losses from any high point for PHDG and QVMT.

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Drawdown Indicators

PHDGQVMTDifference

Max Drawdown

Largest peak-to-trough decline

-17.70%

-48.05%

+30.35%

Max Drawdown (1Y)

Largest decline over 1 year

-3.52%

-6.25%

+2.73%

Max Drawdown (3Y)

Largest decline over 3 years

-14.78%

-14.42%

-0.36%

Max Drawdown (5Y)

Largest decline over 5 years

-17.06%

-21.95%

+4.89%

Max Drawdown (10Y)

Largest decline over 10 years

-17.06%

-48.05%

+30.99%

Current Drawdown

Current decline from peak

0.00%

0.00%

0.00%

Average Drawdown

Average peak-to-trough decline

-6.24%

-6.34%

+0.10%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.95%

1.76%

-0.81%

Volatility

PHDG vs. QVMT - Volatility Comparison

Invesco S&P 500 Downside Hedged ETF (PHDG) has a higher volatility of 3.19% compared to Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) at 3.03%. This indicates that PHDG's price experiences larger fluctuations and is considered to be riskier than QVMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

PHDGQVMTDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.19%

3.03%

+0.16%

Volatility (6M)

Calculated over the trailing 6-month period

6.77%

8.97%

-2.20%

Volatility (1Y)

Calculated over the trailing 1-year period

8.91%

12.47%

-3.56%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.94%

17.28%

-6.34%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

11.93%

21.08%

-9.15%

PHDG vs. QVMT - Expense Ratio Comparison

PHDG has a 0.39% expense ratio, which is higher than QVMT's 0.13% expense ratio.

Dividends

PHDG vs. QVMT - Dividend Comparison

PHDG's dividend yield for the trailing twelve months is around 1.84%, less than QVMT's 2.04% yield.

PositionTTM20252024202320222021202020192018201720162015
PHDG
Invesco S&P 500 Downside Hedged ETF		1.84%2.10%1.94%1.93%1.35%0.44%0.63%1.80%1.56%1.83%2.29%1.64%
QVMT
Invesco S&P S&P 500 Concentrated QVM ETF		2.04%2.42%2.71%3.05%2.49%2.31%2.70%2.23%2.48%2.37%1.11%0.54%

Frequently Asked Questions

PHDG and QVMT have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PHDG has higher volatility (3.19%) compared to QVMT (3.03%). In terms of maximum drawdown, PHDG dropped -17.70% vs QVMT's -48.05%.

On 10-year performance, QVMT leads with 12.97% vs 7.32% for PHDG. On fees, QVMT is cheaper at 0.13% per year. On volatility, QVMT has been the lower-risk option at 3.03%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, QVMT has performed better with a 12.97% return vs 7.32%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QVMT is cheaper with a 0.13% expense ratio, compared with 0.39% for PHDG.

QVMT has the higher dividend yield at 2.04%, compared with 1.84% for PHDG.

PHDG is categorized as Equity Hedged, while QVMT is S&P 500. PHDG tracks S&P 500 Dynamic VEQTOR Index, while QVMT tracks S&P 500 Quality, Value & Momentum Multi-factor Index. Their fees differ too: 0.39% for PHDG and 0.13% for QVMT.

PHDG currently has the higher Sharpe Ratio (3.03 vs 2.95), 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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