QVMS vs. VFMF

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) and Vanguard U.S. Multifactor ETF (VFMF).

QVMS and VFMF 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. VFMF is managed by Vanguard. It was launched on Feb 13, 2018.

Performance

QVMS vs. VFMF - 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 Vanguard U.S. Multifactor ETF (VFMF). The values are adjusted to include any dividend payments, if applicable.

QVMS vs. VFMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	3.59%	5.56%	9.50%	16.89%	-14.61%	4.45%
VFMF Vanguard U.S. Multifactor ETF	3.32%	17.38%	15.60%	18.52%	-5.70%	7.07%

Returns By Period

In the year-to-date period, QVMS achieves a 3.59% return, which is significantly higher than VFMF's 3.32% return.

QVMS

• 1D: 2.44%
• 1M: -4.15%
• YTD: 3.59%
• 6M: 4.87%
• 1Y: 19.92%
• 3Y*: 10.96%
• 5Y*: —
• 10Y*: —

VFMF

• 1D: 1.80%
• 1M: -4.04%
• YTD: 3.32%
• 6M: 8.39%
• 1Y: 24.79%
• 3Y*: 18.13%
• 5Y*: 11.66%
• 10Y*: —

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

QVMS vs. VFMF - Expense Ratio Comparison

QVMS 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%.

VFMF

Vanguard U.S. Multifactor ETF

QVMS

Invesco S&P SmallCap 600 QVM Multi-factor ETF

Return for Risk

QVMS vs. VFMF — Risk / Return Rank

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

QVMS

QVMS Risk / Return Rank: 53
QVMS Sharpe Ratio Rank: 50
QVMS Sortino Ratio Rank: 53
QVMS Omega Ratio Rank: 49
QVMS Calmar Ratio Rank: 55
QVMS Martin Ratio Rank: 58

VFMF

VFMF Risk / Return Rank: 78
VFMF Sharpe Ratio Rank: 76
VFMF Sortino Ratio Rank: 77
VFMF Omega Ratio Rank: 78
VFMF Calmar Ratio Rank: 77
VFMF Martin Ratio Rank: 83

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. VFMF - 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 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.

	QVMS	VFMF	Difference
Sharpe ratio Return per unit of total volatility	0.88	1.33	-0.45
Sortino ratio Return per unit of downside risk	1.38	1.90	-0.52
Omega ratio Gain probability vs. loss probability	1.18	1.28	-0.10
Calmar ratio Return relative to maximum drawdown	1.38	1.93	-0.54
Martin ratio Return relative to average drawdown	5.58	8.90	-3.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QVMS vs. VFMF - Sharpe Ratio Comparison

The current QVMS Sharpe Ratio is 0.88, which is lower than the VFMF Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of QVMS and VFMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	QVMS	VFMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.88	1.33	-0.45
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.64	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.22	0.51	-0.29

Correlation

The correlation between QVMS and VFMF is 0.94, 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

QVMS vs. VFMF - Dividend Comparison

QVMS's dividend yield for the trailing twelve months is around 1.27%, less than VFMF's 1.53% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.27%	1.10%	1.53%	1.51%	1.58%	0.64%	0.00%	0.00%	0.00%
VFMF Vanguard U.S. Multifactor ETF	1.53%	1.54%	1.60%	1.78%	2.21%	1.39%	1.56%	1.61%	1.22%

Drawdowns

QVMS vs. VFMF - Drawdown Comparison

The maximum QVMS drawdown since its inception was -28.05%, smaller than the maximum VFMF drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for QVMS and VFMF.

Drawdown Indicators

	QVMS	VFMF	Difference
Max Drawdown Largest peak-to-trough decline	-28.05%	-41.34%	+13.29%
Max Drawdown (1Y) Largest decline over 1 year	-14.86%	-13.32%	-1.54%
Max Drawdown (5Y) Largest decline over 5 years	—	-20.57%	—
Current Drawdown Current decline from peak	-5.94%	-4.99%	-0.95%
Average Drawdown Average peak-to-trough decline	-9.39%	-5.85%	-3.54%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.68%	2.88%	+0.80%

Volatility

QVMS vs. VFMF - Volatility Comparison

Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a higher volatility of 6.26% compared to Vanguard U.S. Multifactor ETF (VFMF) at 4.62%. This indicates that QVMS'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.

Volatility by Period

	QVMS	VFMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.26%	4.62%	+1.64%
Volatility (6M) Calculated over the trailing 6-month period	13.01%	10.05%	+2.96%
Volatility (1Y) Calculated over the trailing 1-year period	22.75%	18.79%	+3.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.41%	18.25%	+3.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.41%	21.31%	+0.10%