PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FFND vs. SPMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FFND and SPMO is 0.71, 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.


-0.50.00.51.00.7

Performance

FFND vs. SPMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Future Fund Active ETF (FFND) and Invesco S&P 500® Momentum ETF (SPMO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
11.50%
12.17%
FFND
SPMO

Key characteristics

Sharpe Ratio

FFND:

1.46

SPMO:

2.71

Sortino Ratio

FFND:

1.98

SPMO:

3.53

Omega Ratio

FFND:

1.26

SPMO:

1.48

Calmar Ratio

FFND:

0.98

SPMO:

3.74

Martin Ratio

FFND:

6.63

SPMO:

15.34

Ulcer Index

FFND:

4.05%

SPMO:

3.21%

Daily Std Dev

FFND:

18.42%

SPMO:

18.20%

Max Drawdown

FFND:

-47.84%

SPMO:

-30.95%

Current Drawdown

FFND:

-5.69%

SPMO:

-2.12%

Returns By Period

In the year-to-date period, FFND achieves a 26.66% return, which is significantly lower than SPMO's 47.97% return.


FFND

YTD

26.66%

1M

-1.09%

6M

11.50%

1Y

27.03%

5Y*

N/A

10Y*

N/A

SPMO

YTD

47.97%

1M

1.07%

6M

12.17%

1Y

49.00%

5Y*

19.67%

10Y*

N/A

Compare stocks, funds, or ETFs

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


FFND vs. SPMO - Expense Ratio Comparison

FFND has a 1.01% expense ratio, which is higher than SPMO's 0.13% expense ratio.


FFND
Future Fund Active ETF
Expense ratio chart for FFND: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

FFND vs. SPMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Future Fund Active ETF (FFND) and Invesco S&P 500® Momentum ETF (SPMO). 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 FFND, currently valued at 1.46, compared to the broader market0.002.004.001.462.71
The chart of Sortino ratio for FFND, currently valued at 1.98, compared to the broader market-2.000.002.004.006.008.0010.001.983.53
The chart of Omega ratio for FFND, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.48
The chart of Calmar ratio for FFND, currently valued at 0.98, compared to the broader market0.005.0010.0015.000.983.74
The chart of Martin ratio for FFND, currently valued at 6.63, compared to the broader market0.0020.0040.0060.0080.00100.006.6315.34
FFND
SPMO

The current FFND Sharpe Ratio is 1.46, which is lower than the SPMO Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of FFND and SPMO, 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.46
2.71
FFND
SPMO

Dividends

FFND vs. SPMO - Dividend Comparison

FFND has not paid dividends to shareholders, while SPMO's dividend yield for the trailing twelve months is around 0.48%.


TTM202320222021202020192018201720162015
FFND
Future Fund Active ETF
0.00%0.00%0.00%0.03%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF
0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%

Drawdowns

FFND vs. SPMO - Drawdown Comparison

The maximum FFND drawdown since its inception was -47.84%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for FFND and SPMO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.69%
-2.12%
FFND
SPMO

Volatility

FFND vs. SPMO - Volatility Comparison

Future Fund Active ETF (FFND) and Invesco S&P 500® Momentum ETF (SPMO) have volatilities of 5.37% and 5.17%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.37%
5.17%
FFND
SPMO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab