JMOM vs. QQQ
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and Invesco QQQ (QQQ).
JMOM and QQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999. Both JMOM and QQQ 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: JMOM or QQQ.
Performance
JMOM vs. QQQ - Performance Comparison
Returns By Period
In the year-to-date period, JMOM achieves a 34.03% return, which is significantly higher than QQQ's 24.04% return.
JMOM
34.03%
5.45%
16.38%
41.42%
16.86%
N/A
QQQ
24.04%
3.57%
10.78%
30.56%
20.99%
18.03%
Key characteristics
| JMOM | QQQ | |
|---|---|---|
| Sharpe Ratio | 2.98 | 1.76 |
| Sortino Ratio | 4.03 | 2.35 |
| Omega Ratio | 1.53 | 1.32 |
| Calmar Ratio | 4.22 | 2.25 |
| Martin Ratio | 19.70 | 8.18 |
| Ulcer Index | 2.10% | 3.74% |
| Daily Std Dev | 13.90% | 17.36% |
| Max Drawdown | -34.31% | -82.98% |
| Current Drawdown | -0.03% | -1.62% |
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JMOM vs. QQQ - Expense Ratio Comparison
JMOM has a 0.12% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, 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 JMOM and QQQ is 0.82, 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
JMOM vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) and Invesco QQQ (QQQ). 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
JMOM vs. QQQ - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.72%, more than QQQ's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JMOM JPMorgan U.S. Momentum Factor ETF | 0.72% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% | 0.00% | 0.00% | 0.00% | 0.00% |
QQQ Invesco QQQ | 0.60% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
JMOM vs. QQQ - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for JMOM and QQQ. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. QQQ - Volatility Comparison
The current volatility for JPMorgan U.S. Momentum Factor ETF (JMOM) is 4.68%, while Invesco QQQ (QQQ) has a volatility of 5.36%. This indicates that JMOM experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.