IUMD.L vs. JMOM
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor UCITS ETF USD (Dist) (IUMD.L) and JPMorgan U.S. Momentum Factor ETF (JMOM).
IUMD.L and JMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IUMD.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Feb 21, 2018. JMOM is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Momentum Factor Index. It was launched on Nov 8, 2017. Both IUMD.L and JMOM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IUMD.L or JMOM.
Performance
IUMD.L vs. JMOM - Performance Comparison
Returns By Period
In the year-to-date period, IUMD.L achieves a 32.59% return, which is significantly higher than JMOM's 30.62% return.
IUMD.L
32.59%
-0.68%
9.44%
39.83%
12.15%
N/A
JMOM
30.62%
1.16%
12.85%
39.34%
16.15%
N/A
Key characteristics
| IUMD.L | JMOM | |
|---|---|---|
| Sharpe Ratio | 2.14 | 2.89 |
| Sortino Ratio | 2.84 | 3.92 |
| Omega Ratio | 1.40 | 1.51 |
| Calmar Ratio | 1.88 | 3.90 |
| Martin Ratio | 11.67 | 19.16 |
| Ulcer Index | 3.34% | 2.10% |
| Daily Std Dev | 18.19% | 13.89% |
| Max Drawdown | -33.67% | -34.31% |
| Current Drawdown | -2.26% | -2.57% |
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IUMD.L vs. JMOM - Expense Ratio Comparison
IUMD.L has a 0.20% expense ratio, which is higher than JMOM's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between IUMD.L and JMOM is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
IUMD.L vs. JMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor UCITS ETF USD (Dist) (IUMD.L) and JPMorgan U.S. Momentum Factor ETF (JMOM). 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
IUMD.L vs. JMOM - Dividend Comparison
IUMD.L's dividend yield for the trailing twelve months is around 0.47%, less than JMOM's 0.74% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
IUMD.L iShares Edge MSCI USA Momentum Factor UCITS ETF USD (Dist) | 0.47% | 1.14% | 1.41% | 0.40% | 0.67% | 1.13% | 0.85% | 0.00% |
JMOM JPMorgan U.S. Momentum Factor ETF | 0.74% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% |
Drawdowns
IUMD.L vs. JMOM - Drawdown Comparison
The maximum IUMD.L drawdown since its inception was -33.67%, roughly equal to the maximum JMOM drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for IUMD.L and JMOM. For additional features, visit the drawdowns tool.
Volatility
IUMD.L vs. JMOM - Volatility Comparison
The current volatility for iShares Edge MSCI USA Momentum Factor UCITS ETF USD (Dist) (IUMD.L) is 3.54%, while JPMorgan U.S. Momentum Factor ETF (JMOM) has a volatility of 4.69%. This indicates that IUMD.L experiences smaller price fluctuations and is considered to be less risky than JMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.