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QVMM vs. RWJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QVMM vs. RWJ

Last updated Aug 4, 2026
Documentation

QVMM (Invesco S&P MidCap 400 QVM Multi-factor ETF) and RWJ (Invesco S&P SmallCap 600 Revenue ETF) are both exchange-traded funds - QVMM is a Multi-factor fund tracking the S&P MidCap 400 Quality, Value & Momentum Top 90% Multi-Factor Index - Benchmark TR Gross, while RWJ is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Revenue-Weighted Index. Both are passively managed. Over the past 5 years, QVMM returned 8.91%/yr vs 11.70%/yr for RWJ. Their correlation of 0.91 means they have usually moved in the same direction. QVMM charges 0.15%/yr vs 0.39%/yr for RWJ.

Performance

QVMM vs. RWJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QVMM achieves a 16.68% return, which is significantly lower than RWJ's 27.72% return.

QVMM

1D
0.98%
1M
0.51%
6M
10.99%
YTD
16.68%
1Y
25.71%
3Y*
14.62%
5Y*
8.91%
10Y*
—
ALL TIME*
8.77%

RWJ

1D
1.58%
1M
4.01%
6M
17.92%
YTD
27.72%
1Y
46.00%
3Y*
17.09%
5Y*
11.70%
10Y*
13.52%
ALL TIME*
12.63%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

QVMM

Invesco S&P MidCap 400 QVM Multi-factor ETF
$31.16K$30.58K$38.08K

RWJ

Invesco S&P SmallCap 600 Revenue ETF
$5.36M$5.23M$5.02M

QVMM vs. RWJ - Yearly Performance Comparison

2026 (YTD)20252024202320222021
QVMM
Invesco S&P MidCap 400 QVM Multi-factor ETF		16.68%8.82%13.36%15.43%-13.06%6.20%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		27.72%7.75%11.81%16.21%-10.97%3.57%

Correlation

The correlation between QVMM and RWJ is 0.84, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.84

Correlation (3Y)
Balances recent behavior with more history.

0.88

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.91

Correlation (All Time)
Calculated using the full available price history since Jun 30, 2021

0.91

The correlation between QVMM and RWJ has been stable across timeframes, ranging from 0.84 to 0.91 - a consistent structural relationship.

QVMM vs. RWJ - Sectors Allocation Comparison

Sectors
QVMM
RWJ

Industrials

27.1%
15.3%

Technology

16.1%
10.3%

Financial Services

14.6%
11.6%

Consumer Cyclical

10.4%
25.4%

Healthcare

7.8%
11.0%

Real Estate

7.7%
4.1%

Energy

4.9%
6.5%

Basic Materials

4.8%
4.7%

Consumer Defensive

3.2%
7.7%

Utilities

2.6%
0.9%

Communication Services

0.9%
2.6%

Industrials

QVMM
27.1%
RWJ
15.3%

Technology

QVMM
16.1%
RWJ
10.3%

Financial Services

QVMM
14.6%
RWJ
11.6%

Consumer Cyclical

QVMM
10.4%
RWJ
25.4%

Healthcare

QVMM
7.8%
RWJ
11.0%

Real Estate

QVMM
7.7%
RWJ
4.1%

Energy

QVMM
4.9%
RWJ
6.5%

Basic Materials

QVMM
4.8%
RWJ
4.7%

Consumer Defensive

QVMM
3.2%
RWJ
7.7%

Utilities

QVMM
2.6%
RWJ
0.9%

Communication Services

QVMM
0.9%
RWJ
2.6%

Compare stocks, funds, or ETFs

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

Invesco S&P MidCap 400 QVM Multi-factor ETF

Invesco S&P SmallCap 600 Revenue ETF

Often compared with QVMM:
QVMM vs. QVMSQVMM vs. PAMCQVMM vs. XMMOQVMM vs. XMHQQVMM vs. SPMDQVMM vs. IVOOQVMM vs. SPHQ
Often compared with RWJ:
RWJ vs. AVUVXRWJ vs. XSVMRWJ vs. RWKRWJ vs. RZVRWJ vs. CALFRWJ vs. RFVRWJ vs. FSMD

Return for Risk

QVMM vs. RWJ — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
QVMM
QVMM Risk / Return Rank: 7474
Overall Rank
QVMM Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
QVMM Sortino Ratio Rank: 7373
Sortino Ratio Rank
QVMM Omega Ratio Rank: 6767
Omega Ratio Rank
QVMM Calmar Ratio Rank: 8181
Calmar Ratio Rank
QVMM Martin Ratio Rank: 8080
Martin Ratio Rank
RWJ
RWJ Risk / Return Rank: 9191
Overall Rank
RWJ Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
RWJ Sortino Ratio Rank: 9393
Sortino Ratio Rank
RWJ Omega Ratio Rank: 9090
Omega Ratio Rank
RWJ Calmar Ratio Rank: 9191
Calmar Ratio Rank
RWJ Martin Ratio Rank: 8888
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

QVMM vs. RWJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

QVMMRWJDifference
Sharpe ratioReturn per unit of total volatility
1.68
2.50

-0.82

Sortino ratioReturn per unit of downside risk
2.46
3.57

-1.11

Omega ratioGain probability vs. loss probability

1.30

1.43

-0.13

Calmar ratioReturn relative to maximum drawdown

3.11

4.09

-0.98

Martin ratioReturn relative to average drawdown

11.12

13.73

-2.61

QVMM vs. RWJ - Sharpe Ratio Comparison

The current QVMM Sharpe Ratio is 1.68, which is lower than the RWJ Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of QVMM and RWJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

QVMM vs. RWJ - Drawdown Comparison

The maximum QVMM drawdown since its inception was -24.00%, smaller than the maximum RWJ drawdown of -55.97%. Use the drawdown chart below to compare losses from any high point for QVMM and RWJ.

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Drawdown Indicators

QVMMRWJDifference

Max Drawdown

Largest peak-to-trough decline

-24.00%

-55.97%

+31.97%

Max Drawdown (1Y)

Largest decline over 1 year

-8.30%

-11.31%

+3.01%

Max Drawdown (3Y)

Largest decline over 3 years

-24.00%

-29.29%

+5.29%

Max Drawdown (5Y)

Largest decline over 5 years

-24.00%

-29.29%

+5.29%

Max Drawdown (10Y)

Largest decline over 10 years

—

-51.33%

—

Current Drawdown

Current decline from peak

-0.95%

-0.19%

-0.76%

Average Drawdown

Average peak-to-trough decline

-6.89%

-9.16%

+2.27%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.32%

3.36%

-1.04%

Volatility

QVMM vs. RWJ - Volatility Comparison

The current volatility for Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) is 3.57%, while Invesco S&P SmallCap 600 Revenue ETF (RWJ) has a volatility of 4.32%. This indicates that QVMM experiences smaller price fluctuations and is considered to be less risky than RWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QVMMRWJDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.57%

4.32%

-0.75%

Volatility (6M)

Calculated over the trailing 6-month period

11.54%

12.24%

-0.70%

Volatility (1Y)

Calculated over the trailing 1-year period

15.42%

18.55%

-3.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.35%

23.50%

-4.15%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.32%

26.07%

-6.75%

QVMM vs. RWJ - Expense Ratio Comparison

QVMM has a 0.15% expense ratio, which is lower than RWJ's 0.39% expense ratio.

Dividends

QVMM vs. RWJ - Dividend Comparison

QVMM's dividend yield for the trailing twelve months is around 1.14%, more than RWJ's 0.98% yield.

PositionTTM20252024202320222021202020192018201720162015
QVMM
Invesco S&P MidCap 400 QVM Multi-factor ETF		1.14%1.32%1.29%1.42%1.51%0.60%0.00%0.00%0.00%0.00%0.00%0.00%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		0.98%1.11%1.15%1.34%1.02%0.61%0.89%1.22%1.44%1.11%0.60%0.74%

Frequently Asked Questions

QVMM and RWJ have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

RWJ has higher volatility (4.32%) compared to QVMM (3.57%). In terms of maximum drawdown, QVMM dropped -24.00% vs RWJ's -55.97%.

On 5-year performance, RWJ leads with 11.70% vs 8.91% for QVMM. On fees, QVMM is cheaper at 0.15% per year. On volatility, QVMM has been the lower-risk option at 3.57%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, RWJ has performed better with a 11.70% return vs 8.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QVMM is cheaper with a 0.15% expense ratio, compared with 0.39% for RWJ.

QVMM has the higher dividend yield at 1.14%, compared with 0.98% for RWJ.

QVMM is categorized as Multi-factor, while RWJ is Small Cap Value Equities. QVMM tracks S&P MidCap 400 Quality, Value & Momentum Top 90% Multi-Factor Index - Benchmark TR Gross, while RWJ tracks S&P SmallCap 600 Revenue-Weighted Index. Their fees differ too: 0.15% for QVMM and 0.39% for RWJ.

RWJ currently has the higher Sharpe Ratio (2.50 vs 1.68), 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.

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