QVMM vs. VFMF
Compare and contrast key facts about Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) and Vanguard U.S. Multifactor ETF (VFMF).
QVMM and VFMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QVMM is a passively managed fund by Invesco that tracks the performance of the S&P MidCap 400 Quality, Value & Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. It was launched on Jun 30, 2021. VFMF is managed by Vanguard. It was launched on Feb 13, 2018.
Performance
QVMM vs. VFMF - Performance Comparison
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QVMM vs. VFMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
QVMM Invesco S&P MidCap 400 QVM Multi-factor ETF | 4.35% | 8.82% | 13.36% | 15.43% | -13.06% | 6.04% |
VFMF Vanguard U.S. Multifactor ETF | 4.17% | 17.38% | 15.60% | 18.52% | -5.70% | 7.07% |
Returns By Period
The year-to-date returns for both stocks are quite close, with QVMM having a 4.35% return and VFMF slightly lower at 4.17%.
QVMM
- 1D
- 0.99%
- 1M
- -4.84%
- YTD
- 4.35%
- 6M
- 6.04%
- 1Y
- 19.34%
- 3Y*
- 12.97%
- 5Y*
- —
- 10Y*
- —
VFMF
- 1D
- 0.82%
- 1M
- -3.38%
- YTD
- 4.17%
- 6M
- 9.32%
- 1Y
- 25.37%
- 3Y*
- 18.45%
- 5Y*
- 11.84%
- 10Y*
- —
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QVMM vs. VFMF - Expense Ratio Comparison
QVMM has a 0.15% 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%.
Return for Risk
QVMM vs. VFMF — Risk / Return Rank
QVMM
VFMF
QVMM vs. VFMF - 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 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.
| QVMM | VFMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.93 | 1.36 | -0.42 |
Sortino ratioReturn per unit of downside risk | 1.44 | 1.94 | -0.50 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.29 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 1.41 | 1.94 | -0.53 |
Martin ratioReturn relative to average drawdown | 6.27 | 8.92 | -2.65 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QVMM | VFMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.93 | 1.36 | -0.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.65 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.52 | -0.17 |
Correlation
The correlation between QVMM and VFMF is 0.95, 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.
Dividends
QVMM vs. VFMF - Dividend Comparison
QVMM's dividend yield for the trailing twelve months is around 1.28%, less than VFMF's 1.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
QVMM Invesco S&P MidCap 400 QVM Multi-factor ETF | 1.28% | 1.32% | 1.29% | 1.42% | 1.51% | 0.60% | 0.00% | 0.00% | 0.00% |
VFMF Vanguard U.S. Multifactor ETF | 1.52% | 1.54% | 1.60% | 1.78% | 2.21% | 1.39% | 1.56% | 1.61% | 1.22% |
Drawdowns
QVMM vs. VFMF - Drawdown Comparison
The maximum QVMM drawdown since its inception was -24.00%, smaller than the maximum VFMF drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for QVMM and VFMF.
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Drawdown Indicators
| QVMM | VFMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.00% | -41.34% | +17.34% |
Max Drawdown (1Y)Largest decline over 1 year | -14.17% | -13.32% | -0.85% |
Max Drawdown (5Y)Largest decline over 5 years | — | -20.57% | — |
Current DrawdownCurrent decline from peak | -4.84% | -4.21% | -0.63% |
Average DrawdownAverage peak-to-trough decline | -7.29% | -5.85% | -1.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.19% | 2.90% | +0.29% |
Volatility
QVMM vs. VFMF - Volatility Comparison
Invesco S&P MidCap 400 QVM Multi-factor ETF (QVMM) has a higher volatility of 6.25% compared to Vanguard U.S. Multifactor ETF (VFMF) at 4.65%. This indicates that QVMM's price experiences larger fluctuations and is considered to be riskier than VFMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QVMM | VFMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.25% | 4.65% | +1.60% |
Volatility (6M)Calculated over the trailing 6-month period | 11.60% | 10.08% | +1.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.81% | 18.80% | +2.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.61% | 18.25% | +1.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.61% | 21.31% | -1.70% |