JMOM vs. SCHG
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and Schwab U.S. Large-Cap Growth ETF (SCHG).
JMOM and SCHG 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. SCHG is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Large-Cap Growth Total Stock Market Total Return Index. It was launched on Dec 11, 2009. Both JMOM and SCHG 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 SCHG.
Performance
JMOM vs. SCHG - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with JMOM having a 31.66% return and SCHG slightly higher at 32.53%.
JMOM
31.66%
2.36%
14.37%
39.50%
16.47%
N/A
SCHG
32.53%
2.62%
15.29%
38.57%
20.39%
16.49%
Key characteristics
| JMOM | SCHG | |
|---|---|---|
| Sharpe Ratio | 2.84 | 2.25 |
| Sortino Ratio | 3.85 | 2.93 |
| Omega Ratio | 1.51 | 1.41 |
| Calmar Ratio | 4.01 | 3.09 |
| Martin Ratio | 18.70 | 12.27 |
| Ulcer Index | 2.10% | 3.11% |
| Daily Std Dev | 13.86% | 17.00% |
| Max Drawdown | -34.31% | -34.59% |
| Current Drawdown | -1.80% | -1.51% |
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JMOM vs. SCHG - Expense Ratio Comparison
JMOM has a 0.12% expense ratio, which is higher than SCHG's 0.04% 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 JMOM and SCHG is 0.86, 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. SCHG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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. SCHG - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.74%, more than SCHG's 0.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JMOM JPMorgan U.S. Momentum Factor ETF | 0.74% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% | 0.00% | 0.00% | 0.00% | 0.00% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.40% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% | 1.09% | 1.07% |
Drawdowns
JMOM vs. SCHG - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, roughly equal to the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for JMOM and SCHG. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. SCHG - Volatility Comparison
The current volatility for JPMorgan U.S. Momentum Factor ETF (JMOM) is 4.66%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.78%. This indicates that JMOM experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.