QVMS vs. QVML
Compare and contrast key facts about Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Invesco S&P 500 QVM Multi-factor ETF (QVML).
QVMS and QVML are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QVMS is a passively managed fund by Invesco that tracks the performance of the S&P Small Cap 600. It was launched on Jun 30, 2021. QVML is a passively managed fund by Invesco that tracks the performance of the S&P 500 Quality, Value &Momentum Top 90% Multi-Factor Index - Benchmark TR Gross. It was launched on Jun 30, 2021. Both QVMS and QVML are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QVMS or QVML.
Key characteristics
| QVMS | QVML | |
|---|---|---|
| YTD Return | 17.51% | 28.42% |
| 1Y Return | 38.67% | 38.31% |
| 3Y Return (Ann) | 4.52% | 10.49% |
| Sharpe Ratio | 1.87 | 3.11 |
| Sortino Ratio | 2.78 | 4.13 |
| Omega Ratio | 1.33 | 1.58 |
| Calmar Ratio | 2.14 | 4.46 |
| Martin Ratio | 11.19 | 20.55 |
| Ulcer Index | 3.47% | 1.85% |
| Daily Std Dev | 20.75% | 12.25% |
| Max Drawdown | -24.77% | -23.53% |
| Current Drawdown | -1.29% | 0.00% |
Correlation
The correlation between QVMS and QVML is 0.79, 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.
Performance
QVMS vs. QVML - Performance Comparison
In the year-to-date period, QVMS achieves a 17.51% return, which is significantly lower than QVML's 28.42% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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%.
Risk-Adjusted Performance
QVMS vs. QVML - Risk-Adjusted Performance 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.
Dividends
QVMS vs. QVML - Dividend Comparison
QVMS's dividend yield for the trailing twelve months is around 1.21%, more than QVML's 1.11% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF | 1.21% | 1.51% | 1.58% | 0.64% |
QVML Invesco S&P 500 QVM Multi-factor ETF | 1.11% | 1.43% | 1.72% | 0.62% |
Drawdowns
QVMS vs. QVML - Drawdown Comparison
The maximum QVMS drawdown since its inception was -24.77%, which is greater than QVML's maximum drawdown of -23.53%. Use the drawdown chart below to compare losses from any high point for QVMS and QVML. For additional features, visit the drawdowns tool.
Volatility
QVMS vs. QVML - Volatility Comparison
Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a higher volatility of 7.75% compared to Invesco S&P 500 QVM Multi-factor ETF (QVML) at 3.81%. 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.