XSHQ vs. VFQY

Last updated Aug 2, 2026

XSHQ (Invesco S&P SmallCap Quality ETF) and VFQY (Vanguard U.S. Quality Factor ETF) are both Quality Factor funds. XSHQ is passively managed, while VFQY is actively managed. Over the past 5 years, XSHQ returned 7.26%/yr vs 8.92%/yr for VFQY. Their correlation of 0.88 means they have usually moved in the same direction. XSHQ charges 0.29%/yr vs 0.13%/yr for VFQY.

Performance

XSHQ vs. VFQY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P SmallCap Quality ETF (XSHQ) and Vanguard U.S. Quality Factor ETF (VFQY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, XSHQ achieves a 14.76% return, which is significantly higher than VFQY's 13.01% return.

XSHQ

• 1D: -0.08%
• 1M: 0.52%
• 6M: 11.29%
• YTD: 14.76%
• 1Y: 20.29%
• 3Y*: 9.48%
• 5Y*: 7.26%
• 10Y*: —
• ALL TIME*: 8.92%

VFQY

• 1D: -0.04%
• 1M: 1.15%
• 6M: 10.45%
• YTD: 13.01%
• 1Y: 22.01%
• 3Y*: 14.60%
• 5Y*: 8.92%
• 10Y*: —
• ALL TIME*: 11.49%

*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)
VFQY Vanguard U.S. Quality Factor ETF	$877.35K	$995.36K	$1.05M
XSHQ Invesco S&P SmallCap Quality ETF	$7.28M	$3.86M	$2.26M

XSHQ vs. VFQY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
XSHQ Invesco S&P SmallCap Quality ETF	14.76%	0.89%	7.49%	23.88%	-15.01%	23.99%	11.81%	17.37%	-2.25%
VFQY Vanguard U.S. Quality Factor ETF	13.01%	10.24%	12.93%	22.48%	-15.74%	27.96%	16.97%	25.75%	-8.19%

Correlation

The correlation between XSHQ and VFQY is 0.88, 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.	0.88
Correlation (3Y) Balances recent behavior with more history.	0.90
Correlation (5Y) Shows whether the relationship held over a longer period.	0.90
Correlation (All Time) Calculated using the full available price history since Feb 15, 2018	0.88

The correlation between XSHQ and VFQY has been stable across timeframes, ranging from 0.88 to 0.90 - a consistent structural relationship.

XSHQ vs. VFQY - Sectors Allocation Comparison

Sectors	XSHQ	VFQY
Financial Services	24.7%	18.9%
Technology	22.6%	25.8%
Industrials	20.5%	16.8%
Consumer Cyclical	14.4%	13.3%
Healthcare	5.8%	8.9%
Energy	4.1%	2.2%
Communication Services	2.9%	2.8%
Basic Materials	2.6%	2.2%
Consumer Defensive	2.4%	9.2%
Real Estate	1.0%	-
Utilities	-	-

Return for Risk

XSHQ vs. VFQY — Risk / Return Rank

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

XSHQ

XSHQ Risk / Return Rank: 45
XSHQ Sharpe Ratio Rank: 43
XSHQ Sortino Ratio Rank: 47
XSHQ Omega Ratio Rank: 40
XSHQ Calmar Ratio Rank: 50
XSHQ Martin Ratio Rank: 44

VFQY

VFQY Risk / Return Rank: 67
VFQY Sharpe Ratio Rank: 68
VFQY Sortino Ratio Rank: 69
VFQY Omega Ratio Rank: 62
VFQY Calmar Ratio Rank: 65
VFQY Martin Ratio Rank: 70

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.

XSHQ vs. VFQY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Quality ETF (XSHQ) and Vanguard U.S. Quality Factor ETF (VFQY). 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.

	XSHQ	VFQY	Difference
Sharpe ratio: Return per unit of total volatility	1.06	1.54	-0.48
Sortino ratio: Return per unit of downside risk	1.71	2.25	-0.54
Omega ratio: Gain probability vs. loss probability	1.19	1.27	-0.08
Calmar ratio: Return relative to maximum drawdown	1.78	2.26	-0.48
Martin ratio: Return relative to average drawdown	4.91	8.53	-3.62

XSHQ vs. VFQY - Sharpe Ratio Comparison

The current XSHQ Sharpe Ratio is 1.06, which is lower than the VFQY Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of XSHQ and VFQY, 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

XSHQ vs. VFQY - Drawdown Comparison

The maximum XSHQ drawdown since its inception was -38.33%, roughly equal to the maximum VFQY drawdown of -37.41%. Use the drawdown chart below to compare losses from any high point for XSHQ and VFQY.

Drawdown Indicators

	XSHQ	VFQY	Difference
Max Drawdown Largest peak-to-trough decline	-38.33%	-37.41%	-0.92%
Max Drawdown (1Y) Largest decline over 1 year	-10.27%	-9.12%	-1.15%
Max Drawdown (3Y) Largest decline over 3 years	-27.34%	-20.67%	-6.67%
Max Drawdown (5Y) Largest decline over 5 years	-27.34%	-25.93%	-1.41%
Current Drawdown Current decline from peak	-0.55%	-0.61%	+0.06%
Average Drawdown Average peak-to-trough decline	-9.19%	-6.57%	-2.62%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.73%	2.41%	+1.32%

Volatility

XSHQ vs. VFQY - Volatility Comparison

Invesco S&P SmallCap Quality ETF (XSHQ) has a higher volatility of 4.23% compared to Vanguard U.S. Quality Factor ETF (VFQY) at 2.96%. This indicates that XSHQ's price experiences larger fluctuations and is considered to be riskier than VFQY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	XSHQ	VFQY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.23%	2.96%	+1.27%
Volatility (6M) Calculated over the trailing 6-month period	11.69%	9.55%	+2.14%
Volatility (1Y) Calculated over the trailing 1-year period	17.30%	13.41%	+3.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.06%	18.28%	+2.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.00%	20.73%	+2.27%

XSHQ vs. VFQY - Expense Ratio Comparison

XSHQ has a 0.29% expense ratio, which is higher than VFQY's 0.13% expense ratio.

Dividends

XSHQ vs. VFQY - Dividend Comparison

XSHQ's dividend yield for the trailing twelve months is around 1.18%, more than VFQY's 1.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
VFQY Vanguard U.S. Quality Factor ETF	1.04%	1.17%	1.34%	1.38%	1.43%	0.98%	1.22%	1.34%	1.31%	0.00%
XSHQ Invesco S&P SmallCap Quality ETF	1.18%	1.48%	1.18%	1.15%	2.02%	1.25%	1.24%	1.11%	1.16%	0.60%

Frequently Asked Questions

Can I hold both XSHQ and VFQY in my portfolio?

XSHQ and VFQY have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XSHQ or VFQY?

XSHQ has higher volatility (4.23%) compared to VFQY (2.96%). In terms of maximum drawdown, XSHQ dropped -38.33% vs VFQY's -37.41%.

Which ETF is better, XSHQ or VFQY?

On 5-year performance, VFQY leads with 8.92% vs 7.26% for XSHQ. On fees, VFQY is cheaper at 0.13% per year. On volatility, VFQY has been the lower-risk option at 2.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, XSHQ or VFQY?

Over the 5-year period, VFQY has performed better with a 8.92% return vs 7.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, XSHQ or VFQY?

VFQY is cheaper with a 0.13% expense ratio, compared with 0.29% for XSHQ.

Which ETF pays a higher dividend yield, XSHQ or VFQY?

XSHQ has the higher dividend yield at 1.18%, compared with 1.04% for VFQY.

What is the main difference between XSHQ and VFQY?

They also come from different issuers: Invesco and Vanguard. Their fees differ too: 0.29% for XSHQ and 0.13% for VFQY.

Which has better risk-adjusted returns?

VFQY currently has the higher Sharpe Ratio (1.54 vs 1.06), 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.