JMOM vs. VONV
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and Vanguard Russell 1000 Value ETF (VONV).
JMOM and VONV 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. VONV is a passively managed fund by Vanguard that tracks the performance of the Russell 1000 Value Index. It was launched on Sep 20, 2010. Both JMOM and VONV 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 VONV.
Performance
JMOM vs. VONV - Performance Comparison
Returns By Period
In the year-to-date period, JMOM achieves a 31.66% return, which is significantly higher than VONV's 19.07% return.
JMOM
31.66%
2.36%
14.37%
39.50%
16.47%
N/A
VONV
19.07%
1.04%
9.93%
27.74%
10.29%
8.88%
Key characteristics
| JMOM | VONV | |
|---|---|---|
| Sharpe Ratio | 2.84 | 2.56 |
| Sortino Ratio | 3.85 | 3.61 |
| Omega Ratio | 1.51 | 1.47 |
| Calmar Ratio | 4.01 | 5.06 |
| Martin Ratio | 18.70 | 15.90 |
| Ulcer Index | 2.10% | 1.73% |
| Daily Std Dev | 13.86% | 10.75% |
| Max Drawdown | -34.31% | -38.21% |
| Current Drawdown | -1.80% | -1.28% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
JMOM vs. VONV - Expense Ratio Comparison
JMOM has a 0.12% expense ratio, which is higher than VONV's 0.08% 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 VONV is 0.73, 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. VONV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) and Vanguard Russell 1000 Value ETF (VONV). 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. VONV - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.74%, less than VONV's 1.91% 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% |
VONV Vanguard Russell 1000 Value ETF | 1.91% | 2.09% | 2.23% | 1.67% | 2.25% | 2.30% | 2.56% | 2.18% | 2.39% | 2.38% | 2.10% | 1.92% |
Drawdowns
JMOM vs. VONV - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, smaller than the maximum VONV drawdown of -38.21%. Use the drawdown chart below to compare losses from any high point for JMOM and VONV. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. VONV - Volatility Comparison
JPMorgan U.S. Momentum Factor ETF (JMOM) has a higher volatility of 4.66% compared to Vanguard Russell 1000 Value ETF (VONV) at 3.67%. This indicates that JMOM's price experiences larger fluctuations and is considered to be riskier than VONV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.