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JMOM vs. VONV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JMOMVONV
YTD Return13.69%7.51%
1Y Return34.47%20.14%
3Y Return (Ann)9.94%5.70%
5Y Return (Ann)14.46%9.66%
Sharpe Ratio2.701.79
Daily Std Dev12.54%10.97%
Max Drawdown-34.31%-38.21%
Current Drawdown-1.59%-1.26%

Correlation

-0.50.00.51.00.7

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.

Performance

JMOM vs. VONV - Performance Comparison

In the year-to-date period, JMOM achieves a 13.69% return, which is significantly higher than VONV's 7.51% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%60.00%80.00%100.00%120.00%December2024FebruaryMarchAprilMay
124.37%
72.28%
JMOM
VONV

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JPMorgan U.S. Momentum Factor ETF

Vanguard Russell 1000 Value ETF

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%.


JMOM
JPMorgan U.S. Momentum Factor ETF
Expense ratio chart for JMOM: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VONV: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

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.


JMOM
Sharpe ratio
The chart of Sharpe ratio for JMOM, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for JMOM, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.003.88
Omega ratio
The chart of Omega ratio for JMOM, currently valued at 1.46, compared to the broader market0.501.001.502.002.501.46
Calmar ratio
The chart of Calmar ratio for JMOM, currently valued at 1.75, compared to the broader market0.002.004.006.008.0010.0012.0014.001.75
Martin ratio
The chart of Martin ratio for JMOM, currently valued at 11.92, compared to the broader market0.0020.0040.0060.0080.0011.92
VONV
Sharpe ratio
The chart of Sharpe ratio for VONV, currently valued at 1.79, compared to the broader market0.002.004.001.79
Sortino ratio
The chart of Sortino ratio for VONV, currently valued at 2.55, compared to the broader market-2.000.002.004.006.008.0010.002.55
Omega ratio
The chart of Omega ratio for VONV, currently valued at 1.31, compared to the broader market0.501.001.502.002.501.31
Calmar ratio
The chart of Calmar ratio for VONV, currently valued at 1.58, compared to the broader market0.002.004.006.008.0010.0012.0014.001.58
Martin ratio
The chart of Martin ratio for VONV, currently valued at 5.28, compared to the broader market0.0020.0040.0060.0080.005.28

JMOM vs. VONV - Sharpe Ratio Comparison

The current JMOM Sharpe Ratio is 2.70, which is higher than the VONV Sharpe Ratio of 1.79. The chart below compares the 12-month rolling Sharpe Ratio of JMOM and VONV.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2024FebruaryMarchAprilMay
2.70
1.79
JMOM
VONV

Dividends

JMOM vs. VONV - Dividend Comparison

JMOM's dividend yield for the trailing twelve months is around 0.94%, less than VONV's 1.97% yield.


TTM20232022202120202019201820172016201520142013
JMOM
JPMorgan U.S. Momentum Factor ETF
0.94%1.21%1.39%0.64%0.85%1.11%1.38%0.29%0.00%0.00%0.00%0.00%
VONV
Vanguard Russell 1000 Value ETF
1.97%2.10%2.22%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-1.59%
-1.26%
JMOM
VONV

Volatility

JMOM vs. VONV - Volatility Comparison

JPMorgan U.S. Momentum Factor ETF (JMOM) has a higher volatility of 4.22% compared to Vanguard Russell 1000 Value ETF (VONV) at 3.15%. 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%December2024FebruaryMarchAprilMay
4.22%
3.15%
JMOM
VONV