VFMF vs. QVMS

Last updated Aug 2, 2026

VFMF (Vanguard U.S. Multifactor ETF) and QVMS (Invesco S&P SmallCap 600 QVM Multi-factor ETF) are both Multi-factor funds. VFMF is actively managed, while QVMS is passively managed. Over the past 5 years, VFMF returned 14.80%/yr vs 8.50%/yr for QVMS. Their correlation of 0.94 means they have usually moved in the same direction. VFMF charges 0.18%/yr vs 0.15%/yr for QVMS.

Performance

VFMF vs. QVMS - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with VFMF having a 21.69% return and QVMS slightly higher at 21.97%.

VFMF

• 1D: -0.01%
• 1M: 2.41%
• 6M: 16.33%
• YTD: 21.69%
• 1Y: 39.45%
• 3Y*: 20.66%
• 5Y*: 14.80%
• 10Y*: —
• ALL TIME*: 12.70%

QVMS

• 1D: -0.04%
• 1M: -0.81%
• 6M: 15.44%
• YTD: 21.97%
• 1Y: 35.49%
• 3Y*: 13.91%
• 5Y*: 8.50%
• 10Y*: —
• ALL TIME*: 7.95%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	$15.87K	$74.79K	$63.13K
VFMF Vanguard U.S. Multifactor ETF	$8.35M	$13.16M	$7.02M

VFMF vs. QVMS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
VFMF Vanguard U.S. Multifactor ETF	21.69%	17.38%	15.60%	18.52%	-5.70%	7.71%
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	21.97%	5.56%	9.50%	16.89%	-14.61%	4.82%

Correlation

The correlation between VFMF and QVMS is 0.90, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.90
Correlation (3Y) Balances recent behavior with more history.	0.93
Correlation (5Y) Shows whether the relationship held over a longer period.	0.94
Correlation (All Time) Calculated using the full available price history since Jun 30, 2021	0.94

The correlation between VFMF and QVMS has been stable across timeframes, ranging from 0.90 to 0.94 - a consistent structural relationship.

VFMF vs. QVMS - Sectors Allocation Comparison

Sectors	VFMF	QVMS
Financial Services	24.6%	18.1%
Healthcare	16.9%	10.4%
Consumer Cyclical	13.4%	13.1%
Technology	12.9%	15.2%
Industrials	8.9%	16.2%
Consumer Defensive	6.8%	3.9%
Energy	6.7%	5.9%
Communication Services	4.8%	1.9%
Basic Materials	4.1%	4.9%
Real Estate	0.3%	7.6%
Utilities	0.2%	2.1%

Return for Risk

VFMF vs. QVMS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

VFMF

VFMF Risk / Return Rank: 95
VFMF Sharpe Ratio Rank: 96
VFMF Sortino Ratio Rank: 96
VFMF Omega Ratio Rank: 95
VFMF Calmar Ratio Rank: 95
VFMF Martin Ratio Rank: 95

QVMS

QVMS Risk / Return Rank: 85
QVMS Sharpe Ratio Rank: 83
QVMS Sortino Ratio Rank: 86
QVMS Omega Ratio Rank: 80
QVMS Calmar Ratio Rank: 90
QVMS Martin Ratio Rank: 88

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

VFMF vs. QVMS - Risk-Adjusted Trends Comparison

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

	VFMF	QVMS	Difference
Sharpe ratio: Return per unit of total volatility	2.93	1.93	+1.00
Sortino ratio: Return per unit of downside risk	4.18	2.86	+1.32
Omega ratio: Gain probability vs. loss probability	1.52	1.33	+0.19
Calmar ratio: Return relative to maximum drawdown	5.35	3.85	+1.50
Martin ratio: Return relative to average drawdown	20.76	13.04	+7.72

VFMF vs. QVMS - Sharpe Ratio Comparison

The current VFMF Sharpe Ratio is 2.93, which is higher than the QVMS Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of VFMF and QVMS, 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

VFMF vs. QVMS - Drawdown Comparison

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

Drawdown Indicators

	VFMF	QVMS	Difference
Max Drawdown Largest peak-to-trough decline	-41.34%	-28.05%	-13.29%
Max Drawdown (1Y) Largest decline over 1 year	-7.08%	-8.78%	+1.70%
Max Drawdown (3Y) Largest decline over 3 years	-20.57%	-28.05%	+7.48%
Max Drawdown (5Y) Largest decline over 5 years	-20.57%	-28.05%	+7.48%
Current Drawdown Current decline from peak	-0.52%	-2.42%	+1.90%
Average Drawdown Average peak-to-trough decline	-5.64%	-8.86%	+3.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.82%	2.59%	-0.77%

Volatility

VFMF vs. QVMS - Volatility Comparison

The current volatility for Vanguard U.S. Multifactor ETF (VFMF) is 2.66%, while Invesco S&P SmallCap 600 QVM Multi-factor ETF (QVMS) has a volatility of 3.70%. This indicates that VFMF experiences smaller price fluctuations and is considered to be less risky than QVMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VFMF	QVMS	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.66%	3.70%	-1.04%
Volatility (6M) Calculated over the trailing 6-month period	8.95%	12.07%	-3.12%
Volatility (1Y) Calculated over the trailing 1-year period	12.93%	17.57%	-4.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.82%	21.06%	-3.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.00%	21.08%	-0.08%

VFMF vs. QVMS - Expense Ratio Comparison

VFMF has a 0.18% expense ratio, which is higher than QVMS's 0.15% 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

VFMF vs. QVMS - Dividend Comparison

VFMF's dividend yield for the trailing twelve months is around 1.34%, more than QVMS's 1.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
QVMS Invesco S&P SmallCap 600 QVM Multi-factor ETF	1.15%	1.10%	1.53%	1.51%	1.58%	0.64%	0.00%	0.00%	0.00%
VFMF Vanguard U.S. Multifactor ETF	1.34%	1.54%	1.60%	1.78%	2.21%	1.39%	1.56%	1.61%	1.22%

Frequently Asked Questions

Can I hold both VFMF and QVMS in my portfolio?

With a correlation of 0.90, VFMF and QVMS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, VFMF or QVMS?

QVMS has higher volatility (3.70%) compared to VFMF (2.66%). In terms of maximum drawdown, VFMF dropped -41.34% vs QVMS's -28.05%.

Which ETF is better, VFMF or QVMS?

On 5-year performance, VFMF leads with 14.80% vs 8.50% for QVMS. On fees, QVMS is cheaper at 0.15% per year. On volatility, VFMF has been the lower-risk option at 2.66%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VFMF or QVMS?

Over the 5-year period, VFMF has performed better with a 14.80% return vs 8.50%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VFMF or QVMS?

QVMS is cheaper with a 0.15% expense ratio, compared with 0.18% for VFMF.

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

VFMF has the higher dividend yield at 1.34%, compared with 1.15% for QVMS.

What is the main difference between VFMF and QVMS?

They also come from different issuers: Vanguard and Invesco. Their fees differ too: 0.18% for VFMF and 0.15% for QVMS.

Which has better risk-adjusted returns?

VFMF currently has the higher Sharpe Ratio (2.93 vs 1.93), 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.