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

Correlation

The correlation between JMOM and VONV is 0.87, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

JMOM vs. VONV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan U.S. Momentum Factor ETF (JMOM) and Vanguard Russell 1000 Value ETF (VONV). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%180.00%NovemberDecember2025FebruaryMarchApril
146.76%
79.29%
JMOM
VONV

Key characteristics

Sharpe Ratio

JMOM:

0.60

VONV:

0.37

Sortino Ratio

JMOM:

0.96

VONV:

0.63

Omega Ratio

JMOM:

1.14

VONV:

1.09

Calmar Ratio

JMOM:

0.65

VONV:

0.38

Martin Ratio

JMOM:

2.51

VONV:

1.48

Ulcer Index

JMOM:

5.01%

VONV:

4.07%

Daily Std Dev

JMOM:

21.18%

VONV:

16.11%

Max Drawdown

JMOM:

-34.31%

VONV:

-38.21%

Current Drawdown

JMOM:

-9.41%

VONV:

-8.80%

Returns By Period

In the year-to-date period, JMOM achieves a -2.68% return, which is significantly lower than VONV's -2.10% return.


JMOM

YTD

-2.68%

1M

-0.84%

6M

-1.75%

1Y

12.50%

5Y*

16.28%

10Y*

N/A

VONV

YTD

-2.10%

1M

-4.45%

6M

-3.69%

1Y

6.35%

5Y*

12.91%

10Y*

8.08%

*Annualized

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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%.


Expense ratio chart for JMOM: current value is 0.12%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
JMOM: 0.12%
Expense ratio chart for VONV: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VONV: 0.08%

Risk-Adjusted Performance

JMOM vs. VONV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JMOM
The Risk-Adjusted Performance Rank of JMOM is 6767
Overall Rank
The Sharpe Ratio Rank of JMOM is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of JMOM is 6666
Sortino Ratio Rank
The Omega Ratio Rank of JMOM is 6666
Omega Ratio Rank
The Calmar Ratio Rank of JMOM is 7272
Calmar Ratio Rank
The Martin Ratio Rank of JMOM is 6969
Martin Ratio Rank

VONV
The Risk-Adjusted Performance Rank of VONV is 5151
Overall Rank
The Sharpe Ratio Rank of VONV is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of VONV is 4949
Sortino Ratio Rank
The Omega Ratio Rank of VONV is 5050
Omega Ratio Rank
The Calmar Ratio Rank of VONV is 5454
Calmar Ratio Rank
The Martin Ratio Rank of VONV is 5252
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for JMOM, currently valued at 0.60, compared to the broader market-1.000.001.002.003.004.00
JMOM: 0.60
VONV: 0.37
The chart of Sortino ratio for JMOM, currently valued at 0.96, compared to the broader market-2.000.002.004.006.008.00
JMOM: 0.96
VONV: 0.63
The chart of Omega ratio for JMOM, currently valued at 1.14, compared to the broader market0.501.001.502.002.50
JMOM: 1.14
VONV: 1.09
The chart of Calmar ratio for JMOM, currently valued at 0.65, compared to the broader market0.002.004.006.008.0010.0012.00
JMOM: 0.65
VONV: 0.38
The chart of Martin ratio for JMOM, currently valued at 2.51, compared to the broader market0.0020.0040.0060.00
JMOM: 2.51
VONV: 1.48

The current JMOM Sharpe Ratio is 0.60, which is higher than the VONV Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of JMOM and VONV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.60
0.37
JMOM
VONV

Dividends

JMOM vs. VONV - Dividend Comparison

JMOM's dividend yield for the trailing twelve months is around 0.89%, less than VONV's 2.08% yield.


TTM20242023202220212020201920182017201620152014
JMOM
JPMorgan U.S. Momentum Factor ETF
0.89%0.75%1.21%1.38%0.64%0.85%1.11%1.38%0.30%0.00%0.00%0.00%
VONV
Vanguard Russell 1000 Value ETF
2.08%1.97%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.41%
-8.80%
JMOM
VONV

Volatility

JMOM vs. VONV - Volatility Comparison

JPMorgan U.S. Momentum Factor ETF (JMOM) has a higher volatility of 14.76% compared to Vanguard Russell 1000 Value ETF (VONV) at 11.81%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
14.76%
11.81%
JMOM
VONV