US ETF · FF6 US RETURNS IN USD

QVMM — Invesco S&P MidCap 400 QVM Multi-factor ETF

Fund overlap 2021-Jul → 2026-Apr (58 months) · Backtest basis 1963-Jul → 2026-Apr (754 months) · Adj. R² 0.943 · AUM US$392M · MER 0.15%
Structural context first: age and backtest basis explain how much live history is available versus how far the winning factor model can be replayed. Then fit, scale, cost, valuation, and payoff metrics show whether this is a clean, investable expression of the exposure it claims to deliver.
Age
4.8 years
2021-Jul → 2026-Apr
Short live history
Backtest Basis
62.8 years
1963-Jul → 2026-Apr
Full long-run factor record
Adj. R²
0.943
Strong model fit
AUM
US$0.4B
Emerging scale
MER
0.15%
Low-cost active tilt
Dividend valuation
117
Moderately rich
117
80 90 100 110 120+
1.19% Current recurring yield
100 = median · below 100 inexpensive · above 100 rich Dividend valuation scale
Backtested Rel. Sharpe
0.94×
Below market hurdle
R
0.5 1.0 1.3 1.8
Relative to a plain market benchmark. 1.0 = market-like risk-adjusted return; above 1.0 clears the market hurdle.
Smart-β Net
+0.77%
Positive value-add
S
-3% 0% 2.5% 4.5%
Annualized non-market factor contribution plus alpha. Above 0% means the smart-beta sleeve added value over plain market exposure.

What QVMM Is

QVMM (Invesco S&P MidCap 400 QVM Multi-factor ETF) from Invesco is a US equity ETF with $0.4B in assets, regressed on the FF6 US over 58 months. The fund tilts toward size (smb) (β=0.58); tilts toward value (hml) (β=0.17); tilts toward profitability (rmw) (β=0.24). Backtested-simulation excess return is +6.85% annualized; the in-sample realized excess was +4.54%.

Why QVMM Ranks This Way

  • Backtested relative Sharpe is 0.94, below the market's 1.00 benchmark.
  • Realized relative Sharpe is 0.51 over the fund's 58-month live sample.
  • Strongest non-market tilts point toward size (smb) (β=0.58) and toward profitability (rmw) (β=0.24).
  • Dividend valuation is close to its historical median at 117 on a 100 median scale.
Best-fit classification
US Equity FF6 US Regression basis: USD Adj. R² 0.943 Fit window: 58M Backtest basis: 754M

This fund is classified as US Equity because that factor set produced the strongest accepted fit. Backtested figures use the winning model's full factor history (1963-Jul → 2026-Apr, 754 months), while the betas themselves are estimated over the fund-overlap window (58 months).

Factor return decomposition
Each bar = βi × factor return, geometrically annualized. Summary rows are computed from the combined monthly series they name.
Model: FF6 US
Sharpe — Backtested Sim.
0.394
Rel. to market: 0.943
Sharpe — Realized
0.247
Rel. to market: 0.513
How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French US 6-factor set (Ken French data library, monthly, USD basis).

Classification winner: FF6 US with Adj. R² 0.943.

Factor context panel: each non-market row compares the current fund with stronger-fit public peers using FF6 US. Beta mode shows raw loadings, percentile mode ranks the fund within the positive-exposure subset, and the linked ticker points to the strongest peer in that factor.

Backtested Sim. applies QVMM's regression betas to the full factor history (1963-Jul → 2026-Apr, 754 months). Individual factor bars show separately annualized sleeves, while the subtotal rows are computed from the combined monthly non-market and smart-beta series directly. The Sharpe uses QVMM's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during QVMM's lifetime only (2021-Jul → 2026-Apr). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposure context
Each non-market row compares this fund with stronger-fit public peers using FF6 US. Toggle between raw factor beta and percentile rank within the same positive-exposure peer set.
Compared against 342 funds using FF6 US
Peer filter: Equity · AUM floor · 24M+ history · Adj. R² > 0.80 · |βmkt−1| < 0.25 · Non-Mkt > 0
Default view is percentile rank. Switch to β scale when you want the raw loading magnitude.
SMB
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.58
67th pct
t +8.0
Current fund: 67th percentile of positive peers · Top decile begins at β +0.88 · Leader: RZV
HML
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.17
48th pct
t +2.4
Current fund: 48th percentile of positive peers · Top decile begins at β +0.41 · Leader: KBWB
RMW
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.24
74th pct
t +3.3
Current fund: 74th percentile of positive peers · Top decile begins at β +0.29 · Leader: DSMC
CMA
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.07
40th pct
t +0.8
Current fund: 40th percentile of positive peers · Top decile begins at β +0.22 · Leader: RWJ
UMD
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.02
27th pct
t +0.5
Current fund: 27th percentile of positive peers · Top decile begins at β +0.17 · Leader: MTUM
Factor exposures
Factor β t-stat Backtested % Realized %
Size (SMB) 0.576 8.04 +1.10% -3.28%
Value (HML) 0.172 2.40 +0.60% +1.14%
Profitability (RMW) 0.236 3.25 +0.71% +0.98%
Investment (CMA) 0.069 0.75 +0.20% +0.05%
Momentum (UMD) 0.024 0.48 +0.17% +0.16%
Non-Market Factor Contribution · combined non-market series +2.85% -1.01%
Alpha (intercept) — -0.93 -2.02%
Smart-Beta Net · combined non-market series + alpha +0.77% -3.02%
+ Mkt-RF contribution · market 1.010 26.33 +6.17% +7.88%
= Total excess return +6.85% +4.54%
+ Rf base (%) 4.44% → 11.30% total 3.51% → 8.05% total
Fund snapshot
Issuer
Invesco
Asset class
Equity
Inception
2021-06-30
Dividend yield
1.19%
Div CAGR
3.82%
Dividend valuation
117 (100=median)
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Verified similar

6 additional factor-similar ETFs are held back for the future comparison view.

View full QVMM similarity cluster
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FAQ

What does this QVMM ETF page measure?

This page evaluates QVMM using factor regressions, relative Sharpe, valuation, and peer context. It is designed for ETF due diligence rather than quote tracking.

Why can Backtested Sim. and Realized differ?

Both views use the same estimated betas. The difference is the return window: Backtested Sim. applies them to the full factor history, while Realized applies them only during the fund's live sample.

Why might a high-return fund still look weak here?

A fund can post strong raw returns and still look unattractive on this screen if its non-market factor capture is weak, its implementation drag is high, or its volatility-adjusted return profile is weaker than the market.

How should US investors use this page?

Use it as a starting point for ETF selection: check whether the fund's live behavior, valuation, and peer context line up with the story the product label implies.

Research disclaimer

Factor decomposition shows what QVMM's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

Important context

VerifiedBeta publishes educational ETF research, not personalized investment advice, portfolio management, or security recommendations. Funds that screen well here can still be unsuitable for your objectives, taxes, liquidity needs, or constraints. Review fund documents, methodology assumptions, and your own circumstances before acting. See the full disclaimer.