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

Performance

MMTM vs. AMOM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Momentum Tilt ETF (MMTM) and QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.44%
15.51%
MMTM
AMOM

Returns By Period

In the year-to-date period, MMTM achieves a 31.59% return, which is significantly lower than AMOM's 37.17% return.


MMTM

YTD

31.59%

1M

2.07%

6M

14.48%

1Y

37.33%

5Y (annualized)

16.20%

10Y (annualized)

15.34%

AMOM

YTD

37.17%

1M

4.50%

6M

17.01%

1Y

42.27%

5Y (annualized)

18.25%

10Y (annualized)

N/A

Key characteristics


MMTMAMOM
Sharpe Ratio2.432.00
Sortino Ratio3.272.61
Omega Ratio1.451.36
Calmar Ratio3.462.41
Martin Ratio15.079.55
Ulcer Index2.52%4.48%
Daily Std Dev15.64%21.43%
Max Drawdown-33.85%-40.03%
Current Drawdown-0.87%-1.54%

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MMTM vs. AMOM - Expense Ratio Comparison

MMTM has a 0.12% expense ratio, which is lower than AMOM's 0.75% 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 MMTM: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Correlation

-0.50.00.51.00.8

The correlation between MMTM and AMOM is 0.84, 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

MMTM vs. AMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM). 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.


Sharpe ratio
The chart of Sharpe ratio for MMTM, currently valued at 2.43, compared to the broader market0.002.004.002.432.00
The chart of Sortino ratio for MMTM, currently valued at 3.27, compared to the broader market-2.000.002.004.006.008.0010.003.272.61
The chart of Omega ratio for MMTM, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.36
The chart of Calmar ratio for MMTM, currently valued at 3.46, compared to the broader market0.005.0010.0015.003.462.41
The chart of Martin ratio for MMTM, currently valued at 15.07, compared to the broader market0.0020.0040.0060.0080.00100.0015.079.55
MMTM
AMOM

The current MMTM Sharpe Ratio is 2.43, which is comparable to the AMOM Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of MMTM and AMOM, 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
2.43
2.00
MMTM
AMOM

Dividends

MMTM vs. AMOM - Dividend Comparison

MMTM's dividend yield for the trailing twelve months is around 0.76%, more than AMOM's 0.15% yield.


TTM20232022202120202019201820172016201520142013
MMTM
SPDR S&P 1500 Momentum Tilt ETF
0.76%1.16%1.67%0.95%1.14%1.55%1.63%1.52%1.98%1.68%1.54%1.74%
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%0.00%0.00%

Drawdowns

MMTM vs. AMOM - Drawdown Comparison

The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum AMOM drawdown of -40.03%. Use the drawdown chart below to compare losses from any high point for MMTM and AMOM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
-1.54%
MMTM
AMOM

Volatility

MMTM vs. AMOM - Volatility Comparison

The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 4.69%, while QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) has a volatility of 6.07%. This indicates that MMTM experiences smaller price fluctuations and is considered to be less risky than AMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
4.69%
6.07%
MMTM
AMOM