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

Correlation

The correlation between QVML and VFMF is 0.83, 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.


-0.50.00.51.00.8

Performance

QVML vs. VFMF - 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 Vanguard U.S. Multifactor ETF (VFMF). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.49%
7.16%
QVML
VFMF

Key characteristics

Sharpe Ratio

QVML:

2.19

VFMF:

1.01

Sortino Ratio

QVML:

2.93

VFMF:

1.50

Omega Ratio

QVML:

1.41

VFMF:

1.19

Calmar Ratio

QVML:

3.21

VFMF:

1.80

Martin Ratio

QVML:

14.30

VFMF:

5.33

Ulcer Index

QVML:

1.92%

VFMF:

2.92%

Daily Std Dev

QVML:

12.52%

VFMF:

15.40%

Max Drawdown

QVML:

-23.53%

VFMF:

-41.34%

Current Drawdown

QVML:

-2.43%

VFMF:

-7.33%

Returns By Period

In the year-to-date period, QVML achieves a 27.08% return, which is significantly higher than VFMF's 15.48% return.


QVML

YTD

27.08%

1M

-0.54%

6M

8.50%

1Y

27.20%

5Y*

N/A

10Y*

N/A

VFMF

YTD

15.48%

1M

-6.16%

6M

7.15%

1Y

15.13%

5Y*

11.97%

10Y*

N/A

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. VFMF - Expense Ratio Comparison

QVML has a 0.11% expense ratio, which is lower than VFMF's 0.18% 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%.


VFMF
Vanguard U.S. Multifactor ETF
Expense ratio chart for VFMF: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
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%

Risk-Adjusted Performance

QVML vs. VFMF - 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 Vanguard U.S. Multifactor ETF (VFMF). 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 2.19, compared to the broader market0.002.004.002.191.01
The chart of Sortino ratio for QVML, currently valued at 2.93, compared to the broader market-2.000.002.004.006.008.0010.002.931.50
The chart of Omega ratio for QVML, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.19
The chart of Calmar ratio for QVML, currently valued at 3.21, compared to the broader market0.005.0010.0015.003.211.80
The chart of Martin ratio for QVML, currently valued at 14.30, compared to the broader market0.0020.0040.0060.0080.00100.0014.305.33
QVML
VFMF

The current QVML Sharpe Ratio is 2.19, which is higher than the VFMF Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of QVML and VFMF, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.19
1.01
QVML
VFMF

Dividends

QVML vs. VFMF - Dividend Comparison

QVML's dividend yield for the trailing twelve months is around 0.83%, less than VFMF's 1.14% yield.


TTM202320222021202020192018
QVML
Invesco S&P 500 QVM Multi-factor ETF
0.83%1.43%1.72%0.62%0.00%0.00%0.00%
VFMF
Vanguard U.S. Multifactor ETF
1.14%1.78%2.21%1.39%1.56%1.61%1.22%

Drawdowns

QVML vs. VFMF - Drawdown Comparison

The maximum QVML drawdown since its inception was -23.53%, smaller than the maximum VFMF drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for QVML and VFMF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.43%
-7.33%
QVML
VFMF

Volatility

QVML vs. VFMF - Volatility Comparison

The current volatility for Invesco S&P 500 QVM Multi-factor ETF (QVML) is 3.62%, while Vanguard U.S. Multifactor ETF (VFMF) has a volatility of 4.43%. This indicates that QVML experiences smaller price fluctuations and is considered to be less risky than VFMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.62%
4.43%
QVML
VFMF
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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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