QVMS vs. SPHD
QVMS (Invesco S&P SmallCap 600 QVM Multi-factor ETF) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - QVMS is a Multi-factor fund tracking the S&P Small Cap 600, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past 3 years, QVMS returned 17.15%/yr vs 12.69%/yr for SPHD. A 0.67 correlation means they provide meaningful diversification when combined. QVMS charges 0.15%/yr vs 0.30%/yr for SPHD.
Performance
QVMS vs. SPHD - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, QVMS achieves a 21.40% return, which is significantly higher than SPHD's 8.15% return.
QVMS
- 1D
- 0.95%
- 1M
- 5.68%
- YTD
- 21.40%
- 6M
- 18.46%
- 1Y
- 35.01%
- 3Y*
- 17.15%
- 5Y*
- —
- 10Y*
- —
SPHD
- 1D
- -0.04%
- 1M
- 0.78%
- YTD
- 8.15%
- 6M
- 7.75%
- 1Y
- 11.57%
- 3Y*
- 12.69%
- 5Y*
- 6.90%
- 10Y*
- 7.55%
QVMS vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF | 21.40% | 5.56% | 9.50% | 16.89% | -14.61% | 4.82% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.15% | 3.41% | 18.08% | 1.32% | 0.58% | 5.14% |
Correlation
The correlation between QVMS and SPHD is 0.53, 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 | 0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.60 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021 | 0.67 |
The correlation between QVMS and SPHD shifts across timeframes, from 0.53 (1 year) to 0.67 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
QVMS vs. SPHD — Risk / Return Rank
QVMS
SPHD
QVMS vs. SPHD - 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® High Dividend Low Volatility ETF (SPHD). 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 | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.96 | ||
| Sortino ratioReturn per unit of downside risk | +1.34 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.17 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 4.00 | 1.59 | +2.42 |
| Martin ratioReturn relative to average drawdown | 13.60 | 3.89 | +9.71 |
Loading charts...
Drawdowns
QVMS vs. SPHD - Drawdown Comparison
The maximum QVMS drawdown since its inception was -28.05%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for QVMS and SPHD.
Loading charts...
Drawdown Indicators
| QVMS | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.05% | -41.39% | +13.34% |
Max Drawdown (1Y)Largest decline over 1 year | -8.78% | -7.33% | -1.45% |
Max Drawdown (3Y)Largest decline over 3 years | -28.05% | -13.29% | -14.76% |
Max Drawdown (5Y)Largest decline over 5 years | — | -19.50% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.39% | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.95% | +1.95% |
Average DrawdownAverage peak-to-trough decline | -9.00% | -4.69% | -4.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.58% | 2.99% | -0.41% |
Volatility
QVMS vs. SPHD - Volatility Comparison
Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a higher volatility of 5.08% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 4.23%. This indicates that QVMS's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| QVMS | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.08% | 4.23% | +0.85% |
Volatility (6M)Calculated over the trailing 6-month period | 12.47% | 8.10% | +4.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.83% | 11.45% | +6.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.22% | 14.16% | +7.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.22% | 17.64% | +3.58% |
QVMS vs. SPHD - Expense Ratio Comparison
QVMS has a 0.15% expense ratio, which is lower than SPHD's 0.30% expense ratio.
Dividends
QVMS vs. SPHD - Dividend Comparison
QVMS's dividend yield for the trailing twelve months is around 1.16%, less than SPHD's 4.60% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF | 1.16% | 1.10% | 1.53% | 1.51% | 1.58% | 0.64% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.60% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
QVMS and SPHD have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QVMS has higher volatility (5.08%) compared to SPHD (4.23%). In terms of maximum drawdown, QVMS dropped -28.05% vs SPHD's -41.39%.
On 3-year performance, QVMS leads with 17.15% vs 12.69% for SPHD. On fees, QVMS is cheaper at 0.15% per year. On volatility, SPHD has been the lower-risk option at 4.23%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, QVMS has performed better with a 17.15% return vs 12.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QVMS is cheaper with a 0.15% expense ratio, compared with 0.30% for SPHD.
SPHD has the higher dividend yield at 4.60%, compared with 1.16% for QVMS.
QVMS is categorized as Multi-factor, while SPHD is Dividend. QVMS tracks S&P Small Cap 600, while SPHD tracks S&P 500 Low Volatility High Dividend Index. Their fees differ too: 0.15% for QVMS and 0.30% for SPHD.
QVMS currently has the higher Sharpe Ratio (1.98 vs 1.02), 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.
Find the right allocation for QVMS and SPHD
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer