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AMOM vs. QMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AMOMQMOM
YTD Return37.39%39.36%
1Y Return43.99%50.34%
3Y Return (Ann)6.88%8.46%
5Y Return (Ann)18.06%17.52%
Sharpe Ratio2.202.75
Sortino Ratio2.833.61
Omega Ratio1.391.45
Calmar Ratio2.651.85
Martin Ratio10.5419.91
Ulcer Index4.46%2.84%
Daily Std Dev21.40%20.52%
Max Drawdown-40.03%-39.13%
Current Drawdown-1.38%-1.92%

Correlation

-0.50.00.51.00.8

The correlation between AMOM and QMOM is 0.78, 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.

Performance

AMOM vs. QMOM - Performance Comparison

In the year-to-date period, AMOM achieves a 37.39% return, which is significantly lower than QMOM's 39.36% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
17.63%
15.20%
AMOM
QMOM

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AMOM vs. QMOM - Expense Ratio Comparison

AMOM has a 0.75% expense ratio, which is higher than QMOM's 0.49% expense ratio.


AMOM
QRAFT AI-Enhanced U.S. Large Cap Momentum ETF
Expense ratio chart for AMOM: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

AMOM vs. QMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). 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.


AMOM
Sharpe ratio
The chart of Sharpe ratio for AMOM, currently valued at 2.20, compared to the broader market-2.000.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for AMOM, currently valued at 2.83, compared to the broader market-2.000.002.004.006.008.0010.0012.002.83
Omega ratio
The chart of Omega ratio for AMOM, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for AMOM, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.65
Martin ratio
The chart of Martin ratio for AMOM, currently valued at 10.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.54
QMOM
Sharpe ratio
The chart of Sharpe ratio for QMOM, currently valued at 2.75, compared to the broader market-2.000.002.004.006.002.75
Sortino ratio
The chart of Sortino ratio for QMOM, currently valued at 3.61, compared to the broader market-2.000.002.004.006.008.0010.0012.003.61
Omega ratio
The chart of Omega ratio for QMOM, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for QMOM, currently valued at 1.85, compared to the broader market0.005.0010.0015.001.85
Martin ratio
The chart of Martin ratio for QMOM, currently valued at 19.91, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.91

AMOM vs. QMOM - Sharpe Ratio Comparison

The current AMOM Sharpe Ratio is 2.20, which is comparable to the QMOM Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of AMOM and QMOM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.20
2.75
AMOM
QMOM

Dividends

AMOM vs. QMOM - Dividend Comparison

AMOM's dividend yield for the trailing twelve months is around 0.15%, less than QMOM's 0.63% yield.


TTM202320222021202020192018201720162015
AMOM
QRAFT AI-Enhanced U.S. Large Cap Momentum ETF
0.15%0.47%0.72%0.14%24.32%5.51%0.00%0.00%0.00%0.00%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.63%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%

Drawdowns

AMOM vs. QMOM - Drawdown Comparison

The maximum AMOM drawdown since its inception was -40.03%, roughly equal to the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for AMOM and QMOM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.38%
-1.92%
AMOM
QMOM

Volatility

AMOM vs. QMOM - Volatility Comparison

QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM) have volatilities of 5.89% and 5.91%, 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.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
5.89%
5.91%
AMOM
QMOM