XTR vs. QVMT
XTR (Global X S&P 500 Tail Risk ETF) and QVMT (Invesco S&P S&P 500 Concentrated QVM ETF) are both exchange-traded funds - XTR is a Equity Hedged fund tracking the Cboe S&P 500 Tail Risk Index, while QVMT is a S&P 500 fund tracking the S&P 500 Quality, Value & Momentum Multi-factor Index. Both are passively managed. Over the past 3 years, XTR returned 18.80%/yr vs 23.12%/yr for QVMT. A 0.67 correlation means they provide meaningful diversification when combined. XTR charges 0.25%/yr vs 0.13%/yr for QVMT.
Performance
XTR vs. QVMT - Performance Comparison
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Returns By Period
In the year-to-date period, XTR achieves a 9.12% return, which is significantly lower than QVMT's 17.89% return.
XTR
- 1D
- 0.41%
- 1M
- 4.62%
- YTD
- 9.12%
- 6M
- 8.93%
- 1Y
- 23.35%
- 3Y*
- 18.80%
- 5Y*
- —
- 10Y*
- —
QVMT
- 1D
- 0.63%
- 1M
- 4.60%
- YTD
- 17.89%
- 6M
- 20.45%
- 1Y
- 36.46%
- 3Y*
- 23.12%
- 5Y*
- 11.59%
- 10Y*
- 12.97%
XTR vs. QVMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
XTR Global X S&P 500 Tail Risk ETF | 9.12% | 13.66% | 21.85% | 21.16% | -17.67% | 4.43% |
QVMT Invesco S&P S&P 500 Concentrated QVM ETF | 17.89% | 19.08% | 14.40% | 11.71% | -5.61% | 6.58% |
Correlation
The correlation between XTR and QVMT is 0.54, 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 | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2021 | 0.67 |
The correlation between XTR and QVMT shifts across timeframes, from 0.54 (1 year) to 0.67 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XTR vs. QVMT — Risk / Return Rank
XTR
QVMT
XTR vs. QVMT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Tail Risk ETF (XTR) and Invesco S&P S&P 500 Concentrated QVM ETF (QVMT). 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.
| XTR | QVMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -1.15 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.50 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 2.76 | 5.86 | -3.10 |
| Martin ratioReturn relative to average drawdown | 11.76 | 20.82 | -9.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XTR | QVMT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.18 | 2.95 | -0.77 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.67 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.62 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.73 | 0.59 | +0.14 |
Drawdowns
XTR vs. QVMT - Drawdown Comparison
The maximum XTR drawdown since its inception was -20.83%, smaller than the maximum QVMT drawdown of -48.05%. Use the drawdown chart below to compare losses from any high point for XTR and QVMT.
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Drawdown Indicators
| XTR | QVMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.83% | -48.05% | +27.22% |
Max Drawdown (1Y)Largest decline over 1 year | -8.51% | -6.25% | -2.26% |
Max Drawdown (3Y)Largest decline over 3 years | -14.35% | -14.42% | +0.07% |
Max Drawdown (5Y)Largest decline over 5 years | — | -21.95% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -48.05% | — |
Current DrawdownCurrent decline from peak | -0.23% | 0.00% | -0.23% |
Average DrawdownAverage peak-to-trough decline | -5.94% | -6.34% | +0.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 1.76% | +0.23% |
Volatility
XTR vs. QVMT - Volatility Comparison
Global X S&P 500 Tail Risk ETF (XTR) and Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) have volatilities of 2.94% and 3.03%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XTR | QVMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.94% | 3.03% | -0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 8.16% | 8.97% | -0.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.75% | 12.47% | -1.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.78% | 17.28% | -3.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.78% | 21.08% | -7.30% |
XTR vs. QVMT - Expense Ratio Comparison
XTR has a 0.25% expense ratio, which is higher than QVMT's 0.13% 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
XTR vs. QVMT - Dividend Comparison
XTR's dividend yield for the trailing twelve months is around 16.33%, more than QVMT's 2.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QVMT Invesco S&P S&P 500 Concentrated QVM ETF | 2.04% | 2.42% | 2.71% | 3.05% | 2.49% | 2.31% | 2.70% | 2.23% | 2.48% | 2.37% | 1.11% | 0.54% |
XTR Global X S&P 500 Tail Risk ETF | 16.33% | 17.82% | 20.89% | 1.09% | 1.08% | 2.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
XTR and QVMT have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QVMT has higher volatility (3.03%) compared to XTR (2.94%). In terms of maximum drawdown, XTR dropped -20.83% vs QVMT's -48.05%.
On 3-year performance, QVMT leads with 23.12% vs 18.80% for XTR. On fees, QVMT is cheaper at 0.13% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, QVMT has performed better with a 23.12% return vs 18.80%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QVMT is cheaper with a 0.13% expense ratio, compared with 0.25% for XTR.
XTR has the higher dividend yield at 16.33%, compared with 2.04% for QVMT.
XTR is categorized as Equity Hedged, while QVMT is S&P 500. XTR tracks Cboe S&P 500 Tail Risk Index, while QVMT tracks S&P 500 Quality, Value & Momentum Multi-factor Index. They also come from different issuers: Global X and Invesco. Their fees differ too: 0.25% for XTR and 0.13% for QVMT.
QVMT currently has the higher Sharpe Ratio (2.95 vs 2.18), 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.
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