QUS vs. QVML
Compare and contrast key facts about SPDR MSCI USA StrategicFactors ETF (QUS) and Invesco S&P 500 QVM Multi-factor ETF (QVML).
QUS and QVML are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QUS is a passively managed fund by State Street that tracks the performance of the MSCI USA Factor Mix A-Series Capped (USD). It was launched on Apr 16, 2015. 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 QUS 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: QUS or QVML.
Key characteristics
| QUS | QVML | |
|---|---|---|
| YTD Return | 23.70% | 28.42% |
| 1Y Return | 34.96% | 40.28% |
| 3Y Return (Ann) | 9.88% | 10.50% |
| Sharpe Ratio | 3.38 | 3.18 |
| Sortino Ratio | 4.75 | 4.22 |
| Omega Ratio | 1.64 | 1.59 |
| Calmar Ratio | 6.06 | 4.59 |
| Martin Ratio | 22.60 | 21.18 |
| Ulcer Index | 1.50% | 1.85% |
| Daily Std Dev | 10.01% | 12.36% |
| Max Drawdown | -33.78% | -23.53% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between QUS and QVML is 0.97, 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
QUS vs. QVML - Performance Comparison
In the year-to-date period, QUS achieves a 23.70% return, which is significantly lower than QVML's 28.42% 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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QUS vs. QVML - Expense Ratio Comparison
QUS has a 0.15% expense ratio, which is higher than QVML's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
QUS vs. QVML - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI USA StrategicFactors ETF (QUS) 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
QUS vs. QVML - Dividend Comparison
QUS's dividend yield for the trailing twelve months is around 1.34%, more than QVML's 1.11% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
QUS SPDR MSCI USA StrategicFactors ETF | 1.34% | 1.57% | 1.68% | 1.27% | 1.73% | 1.81% | 2.12% | 1.86% | 2.07% | 1.48% |
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% | 0.00% | 0.00% |
Drawdowns
QUS vs. QVML - Drawdown Comparison
The maximum QUS drawdown since its inception was -33.78%, which is greater than QVML's maximum drawdown of -23.53%. Use the drawdown chart below to compare losses from any high point for QUS and QVML. For additional features, visit the drawdowns tool.
Volatility
QUS vs. QVML - Volatility Comparison
The current volatility for SPDR MSCI USA StrategicFactors ETF (QUS) is 3.42%, while Invesco S&P 500 QVM Multi-factor ETF (QVML) has a volatility of 3.92%. This indicates that QUS 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.