QVMS vs. QVML

Last updated Jun 24, 2026

QVMS (Invesco S&P SmallCap 600 QVM Multi-factor ETF) and QVML (Invesco S&P 500 QVM Multi-factor ETF) are both Multi-factor funds from Invesco - QVMS tracks the S&P Small Cap 600 while QVML tracks the S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. Both are passively managed. Over the past 3 years, QVMS returned 16.78%/yr vs 21.14%/yr for QVML. A 0.78 correlation means they provide meaningful diversification when combined. QVMS charges 0.15%/yr vs 0.11%/yr for QVML.

Performance

QVMS vs. QVML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco S&P 500 QVM Multi-factor ETF (QVML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QVMS achieves a 20.25% return, which is significantly higher than QVML's 8.76% return.

QVMS

• 1D: -0.43%
• 1M: 4.69%
• YTD: 20.25%
• 6M: 17.76%
• 1Y: 35.14%
• 3Y*: 16.78%
• 5Y*: —
• 10Y*: —

QVML

• 1D: -1.35%
• 1M: -1.10%
• YTD: 8.76%
• 6M: 7.73%
• 1Y: 24.15%
• 3Y*: 21.14%
• 5Y*: —
• 10Y*: —

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

QVMS vs. QVML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	20.25%	5.56%	9.50%	16.89%	-14.61%	4.82%
QVML Invesco S&P 500 QVM Multi-factor ETF	8.76%	17.74%	25.87%	22.19%	-16.25%	12.72%

Correlation

The correlation between QVMS and QVML is 0.73, 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	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.73
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021	0.78

The correlation between QVMS and QVML has been stable across timeframes, ranging from 0.73 to 0.78 - a consistent structural relationship.

QVMS vs. QVML - Sectors Allocation Comparison

Sectors	QVMS	QVML
Financial Services	18.0%	12.0%
Technology	16.7%	39.1%
Industrials	16.3%	8.2%
Consumer Cyclical	13.4%	7.0%
Healthcare	11.1%	8.5%
Real Estate	7.1%	1.5%
Energy	5.6%	3.2%
Basic Materials	5.0%	1.8%
Consumer Defensive	2.8%	5.1%
Utilities	2.1%	2.2%
Communication Services	1.9%	11.3%

Return for Risk

QVMS vs. QVML — Risk / Return Rank

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

QVMS

QVMS Risk / Return Rank: 70
QVMS Sharpe Ratio Rank: 65
QVMS Sortino Ratio Rank: 68
QVMS Omega Ratio Rank: 59
QVMS Calmar Ratio Rank: 81
QVMS Martin Ratio Rank: 76

QVML

QVML Risk / Return Rank: 64
QVML Sharpe Ratio Rank: 64
QVML Sortino Ratio Rank: 63
QVML Omega Ratio Rank: 62
QVML Calmar Ratio Rank: 59
QVML Martin Ratio Rank: 71

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.

QVMS vs. QVML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco S&P 500 QVM Multi-factor ETF (QVML). 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.

	QVMS	QVML	Difference
Sharpe ratio: Return per unit of total volatility	1.98	1.99	-0.01
Sortino ratio: Return per unit of downside risk	2.90	2.75	+0.15
Omega ratio: Gain probability vs. loss probability	1.34	1.36	-0.02
Calmar ratio: Return relative to maximum drawdown	4.02	2.78	+1.24
Martin ratio: Return relative to average drawdown	13.65	12.59	+1.06

QVMS vs. QVML - Sharpe Ratio Comparison

The current QVMS Sharpe Ratio is 1.98, which is comparable to the QVML Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of QVMS and QVML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QVMS vs. QVML - Drawdown Comparison

The maximum QVMS drawdown since its inception was -28.05%, which is greater than QVML's maximum drawdown of -23.52%. Use the drawdown chart below to compare losses from any high point for QVMS and QVML.

Drawdown Indicators

	QVMS	QVML	Difference
Max Drawdown Largest peak-to-trough decline	-28.05%	-23.52%	-4.53%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-8.73%	-0.05%
Max Drawdown (3Y) Largest decline over 3 years	-28.05%	-18.71%	-9.34%
Current Drawdown Current decline from peak	-0.43%	-2.73%	+2.30%
Average Drawdown Average peak-to-trough decline	-9.01%	-5.36%	-3.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.58%	1.92%	+0.66%

Volatility

QVMS vs. QVML - Volatility Comparison

Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a higher volatility of 5.07% compared to Invesco S&P 500 QVM Multi-factor ETF (QVML) at 4.54%. This indicates that QVMS's price experiences larger fluctuations and is considered to be riskier than QVML based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QVMS	QVML	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.07%	4.54%	+0.53%
Volatility (6M) Calculated over the trailing 6-month period	12.45%	9.80%	+2.65%
Volatility (1Y) Calculated over the trailing 1-year period	17.83%	12.19%	+5.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.23%	16.61%	+4.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.23%	16.61%	+4.62%

QVMS vs. QVML - Expense Ratio Comparison

QVMS has a 0.15% expense ratio, which is higher than QVML's 0.11% 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%.

Dividends

QVMS vs. QVML - Dividend Comparison

QVMS's dividend yield for the trailing twelve months is around 1.17%, more than QVML's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021
QVML Invesco S&P 500 QVM Multi-factor ETF	1.03%	1.10%	1.15%	1.43%	1.72%	0.62%
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.17%	1.10%	1.53%	1.51%	1.58%	0.64%

Frequently Asked Questions

Can I hold both QVMS and QVML in my portfolio?

QVMS and QVML have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QVMS or QVML?

QVMS has higher volatility (5.07%) compared to QVML (4.54%). In terms of maximum drawdown, QVMS dropped -28.05% vs QVML's -23.52%.

Which ETF is better, QVMS or QVML?

On 3-year performance, QVML leads with 21.14% vs 16.78% for QVMS. On fees, QVML is cheaper at 0.11% per year. On volatility, QVML has been the lower-risk option at 4.54%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QVMS or QVML?

Over the 3-year period, QVML has performed better with a 21.14% return vs 16.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QVMS or QVML?

QVML is cheaper with a 0.11% expense ratio, compared with 0.15% for QVMS.

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

QVMS has the higher dividend yield at 1.17%, compared with 1.03% for QVML.

What is the main difference between QVMS and QVML?

QVMS tracks S&P Small Cap 600, while QVML tracks S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. Their fees differ too: 0.15% for QVMS and 0.11% for QVML.

Which has better risk-adjusted returns?

QVML currently has the higher Sharpe Ratio (1.99 vs 1.98), 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.