AMOM vs. QMOM
Compare and contrast key facts about QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
AMOM and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. AMOM is an actively managed fund by Exchange Traded Concepts. It was launched on May 21, 2019. QMOM is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Quantity Momentum (USD)(TR). It was launched on Dec 2, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMOM or QMOM.
Performance
AMOM vs. QMOM - Performance Comparison
Returns By Period
In the year-to-date period, AMOM achieves a 37.72% return, which is significantly lower than QMOM's 41.13% return.
AMOM
37.72%
6.62%
15.97%
42.84%
18.33%
N/A
QMOM
41.13%
8.83%
18.93%
52.40%
17.60%
N/A
Key characteristics
| AMOM | QMOM | |
|---|---|---|
| Sharpe Ratio | 2.00 | 2.59 |
| Sortino Ratio | 2.61 | 3.38 |
| Omega Ratio | 1.36 | 1.42 |
| Calmar Ratio | 2.41 | 1.76 |
| Martin Ratio | 9.56 | 18.23 |
| Ulcer Index | 4.48% | 2.88% |
| Daily Std Dev | 21.43% | 20.27% |
| Max Drawdown | -40.03% | -39.13% |
| Current Drawdown | -1.14% | -0.68% |
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AMOM vs. QMOM - Expense Ratio Comparison
AMOM has a 0.75% expense ratio, which is higher than QMOM's 0.49% expense ratio.
Correlation
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.
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.
Dividends
AMOM vs. QMOM - Dividend Comparison
AMOM's dividend yield for the trailing twelve months is around 0.15%, less than QMOM's 0.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
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 | 0.62% | 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.
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 5.99% and 5.95%, 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.