QVML vs. USMF

Last updated Jun 4, 2026

QVML (Invesco S&P 500 QVM Multi-factor ETF) and USMF (WisdomTree US Multifactor Fund) are both exchange-traded funds - QVML is a Multi-factor fund tracking the S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross, while USMF is a Mid Cap Blend Equities fund tracking the WisdomTree US Multifactor Index. Both are passively managed. Over the past 3 years, QVML returned 22.47%/yr vs 14.13%/yr for USMF. Their correlation of 0.84 suggests significant overlap in exposure. QVML charges 0.11%/yr vs 0.28%/yr for USMF.

Performance

QVML vs. USMF - 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 WisdomTree US Multifactor Fund (USMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QVML achieves a 11.17% return, which is significantly higher than USMF's 4.36% return.

QVML

• 1D: -0.58%
• 1M: 5.12%
• YTD: 11.17%
• 6M: 11.48%
• 1Y: 27.60%
• 3Y*: 22.47%
• 5Y*: —
• 10Y*: —

USMF

• 1D: -0.56%
• 1M: 3.76%
• YTD: 4.36%
• 6M: 4.80%
• 1Y: 6.28%
• 3Y*: 14.13%
• 5Y*: 7.67%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

QVML vs. USMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
QVML Invesco S&P 500 QVM Multi-factor ETF	11.17%	17.74%	25.87%	22.19%	-16.25%	12.56%
USMF WisdomTree US Multifactor Fund	4.36%	4.60%	19.65%	13.47%	-8.82%	7.64%

Correlation

The correlation between QVML and USMF is 0.68, 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	0.68
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jul 1, 2021	0.84

The correlation between QVML and USMF shifts across timeframes, from 0.68 (1 year) to 0.84 (all time), reflecting how their relationship changes across market environments.

QVML vs. USMF - Sectors Allocation Comparison

Sectors	QVML	USMF
Technology	35.5%	35.6%
Financial Services	12.8%	11.8%
Communication Services	11.9%	10.3%
Healthcare	8.7%	9.3%
Industrials	8.7%	7.8%
Consumer Cyclical	7.3%	11.1%
Consumer Defensive	5.5%	5.2%
Energy	3.6%	4.1%
Utilities	2.5%	2.0%
Basic Materials	1.9%	0.9%
Real Estate	1.6%	2.0%

Return for Risk

QVML vs. USMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QVML

QVML Risk / Return Rank: 71
QVML Sharpe Ratio Rank: 72
QVML Sortino Ratio Rank: 72
QVML Omega Ratio Rank: 70
QVML Calmar Ratio Rank: 63
QVML Martin Ratio Rank: 77

USMF

USMF Risk / Return Rank: 19
USMF Sharpe Ratio Rank: 18
USMF Sortino Ratio Rank: 17
USMF Omega Ratio Rank: 17
USMF Calmar Ratio Rank: 22
USMF Martin Ratio Rank: 23

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.

QVML vs. USMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 QVM Multi-factor ETF (QVML) 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.

	QVML	USMF	Difference
Sharpe ratio: Return per unit of total volatility	2.38	0.58	+1.79
Sortino ratio: Return per unit of downside risk	3.29	0.89	+2.40
Omega ratio: Gain probability vs. loss probability	1.43	1.10	+0.32
Calmar ratio: Return relative to maximum drawdown	3.18	0.98	+2.20
Martin ratio: Return relative to average drawdown	14.85	2.93	+11.93
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QVML vs. USMF - Sharpe Ratio Comparison

The current QVML Sharpe Ratio is 2.38, which is higher than the USMF Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of QVML 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.

Sharpe Ratios by Period

	QVML	USMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.38	0.58	+1.79
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.54	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.84	0.63	+0.22

Drawdowns

QVML vs. USMF - Drawdown Comparison

The maximum QVML drawdown since its inception was -23.52%, smaller than the maximum USMF drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for QVML and USMF.

Drawdown Indicators

	QVML	USMF	Difference
Max Drawdown Largest peak-to-trough decline	-23.52%	-36.24%	+12.72%
Max Drawdown (1Y) Largest decline over 1 year	-8.73%	-6.47%	-2.26%
Max Drawdown (3Y) Largest decline over 3 years	-18.71%	-15.39%	-3.32%
Max Drawdown (5Y) Largest decline over 5 years	—	-18.10%	—
Current Drawdown Current decline from peak	-0.58%	-0.56%	-0.02%
Average Drawdown Average peak-to-trough decline	-5.40%	-4.16%	-1.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.86%	2.15%	-0.29%

Volatility

QVML vs. USMF - Volatility Comparison

Invesco S&P 500 QVM Multi-factor ETF (QVML) has a higher volatility of 2.91% compared to WisdomTree US Multifactor Fund (USMF) at 2.30%. This indicates that QVML'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.

Volatility by Period

	QVML	USMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.91%	2.30%	+0.61%
Volatility (6M) Calculated over the trailing 6-month period	8.96%	7.43%	+1.53%
Volatility (1Y) Calculated over the trailing 1-year period	11.69%	10.79%	+0.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.59%	14.27%	+2.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.59%	16.97%	-0.38%

QVML vs. USMF - Expense Ratio Comparison

QVML has a 0.11% expense ratio, which is lower than USMF's 0.28% expense ratio.

Dividends

QVML vs. USMF - Dividend Comparison

QVML's dividend yield for the trailing twelve months is around 0.99%, less than USMF's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
QVML Invesco S&P 500 QVM Multi-factor ETF	0.99%	1.10%	1.15%	1.43%	1.72%	0.62%	0.00%	0.00%	0.00%	0.00%
USMF WisdomTree US Multifactor Fund	1.32%	1.37%	1.22%	1.33%	1.74%	1.42%	1.34%	1.38%	1.45%	0.67%

Frequently Asked Questions

Can I hold both QVML and USMF in my portfolio?

QVML and USMF have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QVML or USMF?

QVML has higher volatility (2.91%) compared to USMF (2.30%). In terms of maximum drawdown, QVML dropped -23.52% vs USMF's -36.24%.

Which ETF is better, QVML or USMF?

On 3-year performance, QVML leads with 22.47% vs 14.13% for USMF. On fees, QVML is cheaper at 0.11% per year. On volatility, USMF has been the lower-risk option at 2.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QVML or USMF?

Over the 3-year period, QVML has performed better with a 22.47% return vs 14.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QVML or USMF?

QVML is cheaper with a 0.11% expense ratio, compared with 0.28% for USMF.

Which ETF pays a higher dividend yield, QVML or USMF?

USMF has the higher dividend yield at 1.32%, compared with 0.99% for QVML.

What is the main difference between QVML and USMF?

QVML is categorized as Multi-factor, while USMF is Mid Cap Blend Equities. QVML tracks S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross, while USMF tracks WisdomTree US Multifactor Index. They also come from different issuers: Invesco and WisdomTree. Their fees differ too: 0.11% for QVML and 0.28% for USMF.

Which has better risk-adjusted returns?

QVML currently has the higher Sharpe Ratio (2.38 vs 0.58), 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.