QVML vs. QVMS
Compare and contrast key facts about Invesco S&P 500 QVM Multi-factor ETF (QVML) and Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS).
QVML and QVMS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. QVMS is a passively managed fund by Invesco that tracks the performance of the S&P Small Cap 600. It was launched on Jun 30, 2021. Both QVML and QVMS 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: QVML or QVMS.
Key characteristics
| QVML | QVMS | |
|---|---|---|
| YTD Return | 28.25% | 19.03% |
| 1Y Return | 37.90% | 40.59% |
| 3Y Return (Ann) | 10.45% | 4.98% |
| Sharpe Ratio | 3.25 | 2.03 |
| Sortino Ratio | 4.31 | 2.98 |
| Omega Ratio | 1.61 | 1.36 |
| Calmar Ratio | 4.69 | 2.31 |
| Martin Ratio | 21.64 | 12.16 |
| Ulcer Index | 1.85% | 3.46% |
| Daily Std Dev | 12.27% | 20.74% |
| Max Drawdown | -23.53% | -24.77% |
| Current Drawdown | -0.13% | 0.00% |
Correlation
The correlation between QVML and QVMS is 0.79, 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
QVML vs. QVMS - Performance Comparison
In the year-to-date period, QVML achieves a 28.25% return, which is significantly higher than QVMS's 19.03% 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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QVML vs. QVMS - Expense Ratio Comparison
QVML has a 0.11% expense ratio, which is lower than QVMS's 0.15% expense ratio. Despite the difference, 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
QVML vs. QVMS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 QVM Multi-factor ETF (QVML) and Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS). 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
QVML vs. QVMS - Dividend Comparison
QVML's dividend yield for the trailing twelve months is around 1.11%, less than QVMS's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
QVML Invesco S&P 500 QVM Multi-factor ETF | 1.11% | 1.43% | 1.72% | 0.62% |
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF | 1.19% | 1.51% | 1.58% | 0.64% |
Drawdowns
QVML vs. QVMS - Drawdown Comparison
The maximum QVML drawdown since its inception was -23.53%, smaller than the maximum QVMS drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for QVML and QVMS. For additional features, visit the drawdowns tool.
Volatility
QVML vs. QVMS - Volatility Comparison
The current volatility for Invesco S&P 500 QVM Multi-factor ETF (QVML) is 3.88%, while Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a volatility of 7.57%. This indicates that QVML experiences smaller price fluctuations and is considered to be less risky than QVMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.