JMOM vs. SPMO
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and Invesco S&P 500® Momentum ETF (SPMO).
JMOM and SPMO 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. SPMO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Momentum Index. It was launched on Oct 9, 2015. Both JMOM and SPMO 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 SPMO.
Performance
JMOM vs. SPMO - Performance Comparison
Returns By Period
In the year-to-date period, JMOM achieves a 33.19% return, which is significantly lower than SPMO's 45.16% return.
JMOM
33.19%
3.95%
16.30%
40.54%
16.73%
N/A
SPMO
45.16%
0.65%
16.72%
53.51%
20.06%
N/A
Key characteristics
| JMOM | SPMO | |
|---|---|---|
| Sharpe Ratio | 2.96 | 2.98 |
| Sortino Ratio | 4.00 | 3.91 |
| Omega Ratio | 1.53 | 1.53 |
| Calmar Ratio | 4.19 | 4.02 |
| Martin Ratio | 19.56 | 16.67 |
| Ulcer Index | 2.10% | 3.17% |
| Daily Std Dev | 13.89% | 17.74% |
| Max Drawdown | -34.31% | -30.95% |
| Current Drawdown | -0.66% | -2.19% |
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JMOM vs. SPMO - Expense Ratio Comparison
JMOM has a 0.12% expense ratio, which is lower than SPMO's 0.13% 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 SPMO is 0.83, 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. SPMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) 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.
Dividends
JMOM vs. SPMO - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.73%, more than SPMO's 0.45% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
JMOM JPMorgan U.S. Momentum Factor ETF | 0.73% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% | 0.00% | 0.00% |
SPMO Invesco S&P 500® Momentum ETF | 0.45% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
Drawdowns
JMOM vs. SPMO - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for JMOM and SPMO. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. SPMO - Volatility Comparison
The current volatility for JPMorgan U.S. Momentum Factor ETF (JMOM) is 4.66%, while Invesco S&P 500® Momentum ETF (SPMO) has a volatility of 5.03%. This indicates that JMOM experiences smaller price fluctuations and is considered to be less risky than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.