JMOM vs. VTV
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and Vanguard Value ETF (VTV).
JMOM and VTV 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. VTV is a passively managed fund by Vanguard that tracks the performance of the MSCI US Prime Market Value Index. It was launched on Jan 26, 2004. Both JMOM and VTV 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 VTV.
Performance
JMOM vs. VTV - Performance Comparison
Returns By Period
In the year-to-date period, JMOM achieves a 33.19% return, which is significantly higher than VTV's 21.74% return.
JMOM
33.19%
3.95%
16.30%
40.54%
16.73%
N/A
VTV
21.74%
1.65%
12.77%
29.27%
11.77%
10.57%
Key characteristics
| JMOM | VTV | |
|---|---|---|
| Sharpe Ratio | 2.96 | 2.90 |
| Sortino Ratio | 4.00 | 4.08 |
| Omega Ratio | 1.53 | 1.53 |
| Calmar Ratio | 4.19 | 5.83 |
| Martin Ratio | 19.56 | 18.64 |
| Ulcer Index | 2.10% | 1.59% |
| Daily Std Dev | 13.89% | 10.23% |
| Max Drawdown | -34.31% | -59.27% |
| Current Drawdown | -0.66% | -0.22% |
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JMOM vs. VTV - Expense Ratio Comparison
JMOM has a 0.12% expense ratio, which is higher than VTV'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 VTV is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
JMOM vs. VTV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) and Vanguard Value ETF (VTV). 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. VTV - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.73%, less than VTV's 2.22% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
VTV Vanguard Value ETF | 2.22% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% | 2.22% | 2.21% |
Drawdowns
JMOM vs. VTV - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for JMOM and VTV. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. VTV - Volatility Comparison
JPMorgan U.S. Momentum Factor ETF (JMOM) has a higher volatility of 4.66% compared to Vanguard Value ETF (VTV) at 3.76%. This indicates that JMOM's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.