MMTM vs. AMOM
Compare and contrast key facts about SPDR S&P 1500 Momentum Tilt ETF (MMTM) and QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM).
MMTM and AMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MMTM is a passively managed fund by State Street that tracks the performance of the S&P 1500 Positive Momentum Tilt Index. It was launched on Oct 24, 2012. AMOM is an actively managed fund by Exchange Traded Concepts. It was launched on May 21, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MMTM or AMOM.
Key characteristics
| MMTM | AMOM | |
|---|---|---|
| YTD Return | 25.32% | 27.38% |
| 1Y Return | 38.23% | 39.88% |
| 3Y Return (Ann) | 8.87% | 3.71% |
| 5Y Return (Ann) | 15.32% | 16.81% |
| Sharpe Ratio | 2.58 | 2.01 |
| Sortino Ratio | 3.42 | 2.61 |
| Omega Ratio | 1.47 | 1.37 |
| Calmar Ratio | 3.63 | 1.98 |
| Martin Ratio | 15.87 | 9.52 |
| Ulcer Index | 2.50% | 4.46% |
| Daily Std Dev | 15.41% | 21.11% |
| Max Drawdown | -33.85% | -40.03% |
| Current Drawdown | -3.06% | -4.40% |
Correlation
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.
Performance
MMTM vs. AMOM - Performance Comparison
In the year-to-date period, MMTM achieves a 25.32% return, which is significantly lower than AMOM's 27.38% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
MMTM vs. AMOM - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.79%, more than AMOM's 0.16% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.79% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.64% | 1.52% | 1.98% | 1.68% | 1.54% | 1.74% |
AMOM QRAFT AI-Enhanced U.S. Large Cap Momentum ETF | 0.16% | 0.47% | 0.72% | 0.14% | 24.31% | 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.
Volatility
MMTM vs. AMOM - Volatility Comparison
The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 3.53%, while QRAFT AI-Enhanced U.S. Large Cap Momentum ETF (AMOM) has a volatility of 5.02%. 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.