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QQQ vs. USMF
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QQQ vs. USMF

Last updated Jun 16, 2026

QQQ (Invesco QQQ ETF) and USMF (WisdomTree US Multifactor Fund) are both exchange-traded funds - QQQ is a Nasdaq-100 fund tracking the NASDAQ-100 Index, while USMF is a Mid Cap Blend Equities fund tracking the WisdomTree US Multifactor Index. Both are passively managed. Over the past 5 years, QQQ returned 17.59%/yr vs 8.31%/yr for USMF. A 0.70 correlation means they provide meaningful diversification when combined. QQQ charges 0.18%/yr vs 0.28%/yr for USMF.

Performance

QQQ vs. USMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco QQQ ETF (QQQ) and WisdomTree US Multifactor Fund (USMF). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QQQ achieves a 21.26% return, which is significantly higher than USMF's 6.65% return.

QQQ

1D
3.14%
1M
4.95%
YTD
21.26%
6M
22.17%
1Y
41.87%
3Y*
27.20%
5Y*
17.59%
10Y*
22.31%

USMF

1D
1.25%
1M
5.30%
YTD
6.65%
6M
6.40%
1Y
9.68%
3Y*
13.99%
5Y*
8.31%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

QQQ vs. USMF - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
QQQ
Invesco QQQ ETF		21.26%20.77%25.58%54.86%-32.58%27.42%48.62%38.96%-0.13%9.63%
USMF
WisdomTree US Multifactor Fund		6.65%4.60%19.65%13.47%-8.82%21.26%12.01%24.06%-4.72%11.27%

Correlation

The correlation between QQQ and USMF is 0.56, 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

0.56

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

0.60

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

0.68

Correlation (All Time)
Calculated using the full available price history since Aug 24, 2017

0.70

The correlation between QQQ and USMF shifts across timeframes, from 0.56 (1 year) to 0.70 (all time), reflecting how their relationship changes across market environments.

QQQ vs. USMF - Sectors Allocation Comparison

Sectors
QQQ
USMF

Technology

58.7%
33.2%

Communication Services

14.3%
9.8%

Consumer Cyclical

11.4%
10.5%

Consumer Defensive

6.4%
4.3%

Healthcare

3.7%
9.0%

Industrials

2.6%
8.2%

Utilities

1.2%
1.9%

Basic Materials

1.0%
0.9%

Energy

0.5%
4.8%

Financial Services

0.2%
10.7%

Real Estate

0.1%
2.0%

Technology

QQQ
58.7%
USMF
33.2%

Communication Services

QQQ
14.3%
USMF
9.8%

Consumer Cyclical

QQQ
11.4%
USMF
10.5%

Consumer Defensive

QQQ
6.4%
USMF
4.3%

Healthcare

QQQ
3.7%
USMF
9.0%

Industrials

QQQ
2.6%
USMF
8.2%

Utilities

QQQ
1.2%
USMF
1.9%

Basic Materials

QQQ
1.0%
USMF
0.9%

Energy

QQQ
0.5%
USMF
4.8%

Financial Services

QQQ
0.2%
USMF
10.7%

Real Estate

QQQ
0.1%
USMF
2.0%

Compare stocks, funds, or ETFs

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

Invesco QQQ ETF

WisdomTree US Multifactor Fund

Often compared with QQQ:
QQQ vs. SPYQQQ vs. VOOQQQ vs. VGTQQQ vs. TQQQQQQ vs. SMHQQQ vs. QQQMQQQ vs. QQQI
Often compared with USMF:
USMF vs. DYNFUSMF vs. VFMFUSMF vs. SCHMUSMF vs. SFLRUSMF vs. SPMOUSMF vs. SPYUSMF vs. VO

Return for Risk

QQQ vs. USMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QQQ
QQQ Risk / Return Rank: 7979
Overall Rank
QQQ Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
QQQ Sortino Ratio Rank: 7979
Sortino Ratio Rank
QQQ Omega Ratio Rank: 8181
Omega Ratio Rank
QQQ Calmar Ratio Rank: 7676
Calmar Ratio Rank
QQQ Martin Ratio Rank: 7676
Martin Ratio Rank
USMF
USMF Risk / Return Rank: 2828
Overall Rank
USMF Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
USMF Sortino Ratio Rank: 2525
Sortino Ratio Rank
USMF Omega Ratio Rank: 2424
Omega Ratio Rank
USMF Calmar Ratio Rank: 3232
Calmar Ratio Rank
USMF Martin Ratio Rank: 3232
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.

QQQ vs. USMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco QQQ ETF (QQQ) and WisdomTree US Multifactor Fund (USMF). 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.

QQQUSMFDifference
Sharpe ratioReturn per unit of total volatility
2.42
0.86

+1.56

Sortino ratioReturn per unit of downside risk
3.12
1.29

+1.83

Omega ratioGain probability vs. loss probability

1.42

1.15

+0.27

Calmar ratioReturn relative to maximum drawdown

3.52

1.50

+2.01

Martin ratioReturn relative to average drawdown

13.12

4.47

+8.65

QQQ vs. USMF - Sharpe Ratio Comparison

The current QQQ Sharpe Ratio is 2.42, which is higher than the USMF Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of QQQ and USMF, 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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Drawdowns

QQQ vs. USMF - Drawdown Comparison

The maximum QQQ drawdown since its inception was -82.97%, which is greater than USMF's maximum drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for QQQ and USMF.

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Drawdown Indicators

QQQUSMFDifference

Max Drawdown

Largest peak-to-trough decline

-82.97%

-36.24%

-46.73%

Max Drawdown (1Y)

Largest decline over 1 year

-11.96%

-6.47%

-5.49%

Max Drawdown (3Y)

Largest decline over 3 years

-22.77%

-15.39%

-7.38%

Max Drawdown (5Y)

Largest decline over 5 years

-35.12%

-18.10%

-17.02%

Max Drawdown (10Y)

Largest decline over 10 years

-35.12%

—

—

Current Drawdown

Current decline from peak

-0.29%

0.00%

-0.29%

Average Drawdown

Average peak-to-trough decline

-32.75%

-4.15%

-28.60%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.20%

2.17%

+1.03%

Volatility

QQQ vs. USMF - Volatility Comparison

Invesco QQQ ETF (QQQ) has a higher volatility of 8.14% compared to WisdomTree US Multifactor Fund (USMF) at 4.10%. This indicates that QQQ's price experiences larger fluctuations and is considered to be riskier than USMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QQQUSMFDifference

Volatility (1M)

Calculated over the trailing 1-month period

8.14%

4.10%

+4.04%

Volatility (6M)

Calculated over the trailing 6-month period

14.12%

8.13%

+5.99%

Volatility (1Y)

Calculated over the trailing 1-year period

17.43%

11.31%

+6.12%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.59%

14.34%

+8.25%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.41%

16.97%

+5.44%

QQQ vs. USMF - Expense Ratio Comparison

QQQ has a 0.18% expense ratio, which is lower than USMF's 0.28% expense ratio.

Dividends

QQQ vs. USMF - Dividend Comparison

QQQ's dividend yield for the trailing twelve months is around 0.38%, less than USMF's 1.29% yield.

PositionTTM20252024202320222021202020192018201720162015
QQQ
Invesco QQQ ETF		0.38%0.45%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%
USMF
WisdomTree US Multifactor Fund		1.29%1.37%1.22%1.33%1.74%1.42%1.34%1.38%1.45%0.67%0.00%0.00%

Frequently Asked Questions

QQQ and USMF have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QQQ has higher volatility (8.14%) compared to USMF (4.10%). In terms of maximum drawdown, QQQ dropped -82.97% vs USMF's -36.24%.

On 5-year performance, QQQ leads with 17.59% vs 8.31% for USMF. On fees, QQQ is cheaper at 0.18% per year. On volatility, USMF has been the lower-risk option at 4.10%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, QQQ has performed better with a 17.59% return vs 8.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QQQ is cheaper with a 0.18% expense ratio, compared with 0.28% for USMF.

USMF has the higher dividend yield at 1.29%, compared with 0.38% for QQQ.

QQQ is categorized as Nasdaq-100, while USMF is Mid Cap Blend Equities. QQQ tracks NASDAQ-100 Index, while USMF tracks WisdomTree US Multifactor Index. They also come from different issuers: Invesco and WisdomTree. Their fees differ too: 0.18% for QQQ and 0.28% for USMF.

QQQ currently has the higher Sharpe Ratio (2.42 vs 0.86), 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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