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QVML vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QVML and SPY is 0.98, 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.


-0.50.00.51.01.0

Performance

QVML vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 QVM Multi-factor ETF (QVML) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
45.56%
44.79%
QVML
SPY

Key characteristics

Sharpe Ratio

QVML:

2.22

SPY:

2.21

Sortino Ratio

QVML:

2.97

SPY:

2.93

Omega Ratio

QVML:

1.41

SPY:

1.41

Calmar Ratio

QVML:

3.25

SPY:

3.26

Martin Ratio

QVML:

14.54

SPY:

14.43

Ulcer Index

QVML:

1.91%

SPY:

1.90%

Daily Std Dev

QVML:

12.51%

SPY:

12.41%

Max Drawdown

QVML:

-23.53%

SPY:

-55.19%

Current Drawdown

QVML:

-2.97%

SPY:

-2.74%

Returns By Period

The year-to-date returns for both stocks are quite close, with QVML having a 26.37% return and SPY slightly lower at 25.54%.


QVML

YTD

26.37%

1M

-0.18%

6M

7.65%

1Y

26.71%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


QVML vs. SPY - Expense Ratio Comparison

QVML has a 0.11% expense ratio, which is higher than SPY's 0.09% 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%.


QVML
Invesco S&P 500 QVM Multi-factor ETF
Expense ratio chart for QVML: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QVML vs. SPY - 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 SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for QVML, currently valued at 2.22, compared to the broader market0.002.004.002.222.21
The chart of Sortino ratio for QVML, currently valued at 2.97, compared to the broader market-2.000.002.004.006.008.0010.002.972.93
The chart of Omega ratio for QVML, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.41
The chart of Calmar ratio for QVML, currently valued at 3.25, compared to the broader market0.005.0010.0015.003.253.26
The chart of Martin ratio for QVML, currently valued at 14.54, compared to the broader market0.0020.0040.0060.0080.00100.0014.5414.43
QVML
SPY

The current QVML Sharpe Ratio is 2.22, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of QVML and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.22
2.21
QVML
SPY

Dividends

QVML vs. SPY - Dividend Comparison

QVML's dividend yield for the trailing twelve months is around 0.84%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
QVML
Invesco S&P 500 QVM Multi-factor ETF
0.84%1.43%1.72%0.62%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QVML vs. SPY - Drawdown Comparison

The maximum QVML drawdown since its inception was -23.53%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QVML and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.97%
-2.74%
QVML
SPY

Volatility

QVML vs. SPY - Volatility Comparison

Invesco S&P 500 QVM Multi-factor ETF (QVML) and SPDR S&P 500 ETF (SPY) have volatilities of 3.63% and 3.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.63%
3.72%
QVML
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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