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JOET vs. ARKK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JOET vs. ARKK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Terranova U.S. Quality Momentum ETF (JOET) and ARK Innovation ETF (ARKK). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
18.85%
26.64%
JOET
ARKK

Returns By Period

In the year-to-date period, JOET achieves a 31.68% return, which is significantly higher than ARKK's 7.33% return.


JOET

YTD

31.68%

1M

7.96%

6M

18.86%

1Y

40.82%

5Y (annualized)

N/A

10Y (annualized)

N/A

ARKK

YTD

7.33%

1M

22.84%

6M

26.66%

1Y

26.83%

5Y (annualized)

3.78%

10Y (annualized)

11.81%

Key characteristics


JOETARKK
Sharpe Ratio2.910.75
Sortino Ratio4.001.24
Omega Ratio1.521.15
Calmar Ratio3.510.36
Martin Ratio18.081.86
Ulcer Index2.26%14.39%
Daily Std Dev14.01%35.62%
Max Drawdown-26.58%-80.91%
Current Drawdown0.00%-63.50%

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JOET vs. ARKK - Expense Ratio Comparison

JOET has a 0.29% expense ratio, which is lower than ARKK's 0.75% expense ratio.


ARKK
ARK Innovation ETF
Expense ratio chart for ARKK: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for JOET: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Correlation

-0.50.00.51.00.7

The correlation between JOET and ARKK is 0.68, 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

JOET vs. ARKK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Terranova U.S. Quality Momentum ETF (JOET) and ARK Innovation ETF (ARKK). 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.


Sharpe ratio
The chart of Sharpe ratio for JOET, currently valued at 2.91, compared to the broader market0.002.004.002.910.75
The chart of Sortino ratio for JOET, currently valued at 4.00, compared to the broader market-2.000.002.004.006.008.0010.0012.004.001.24
The chart of Omega ratio for JOET, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.15
The chart of Calmar ratio for JOET, currently valued at 3.51, compared to the broader market0.005.0010.0015.0020.003.510.36
The chart of Martin ratio for JOET, currently valued at 18.08, compared to the broader market0.0020.0040.0060.0080.00100.0018.081.86
JOET
ARKK

The current JOET Sharpe Ratio is 2.91, which is higher than the ARKK Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of JOET and ARKK, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.91
0.75
JOET
ARKK

Dividends

JOET vs. ARKK - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 1.00%, while ARKK has not paid dividends to shareholders.


TTM202320222021202020192018201720162015
JOET
Virtus Terranova U.S. Quality Momentum ETF
1.00%1.32%1.25%0.42%0.08%0.00%0.00%0.00%0.00%0.00%
ARKK
ARK Innovation ETF
0.00%0.00%0.00%0.83%1.31%0.38%3.14%1.32%0.00%2.27%

Drawdowns

JOET vs. ARKK - Drawdown Comparison

The maximum JOET drawdown since its inception was -26.58%, smaller than the maximum ARKK drawdown of -80.91%. Use the drawdown chart below to compare losses from any high point for JOET and ARKK. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-63.50%
JOET
ARKK

Volatility

JOET vs. ARKK - Volatility Comparison

The current volatility for Virtus Terranova U.S. Quality Momentum ETF (JOET) is 5.23%, while ARK Innovation ETF (ARKK) has a volatility of 13.83%. This indicates that JOET experiences smaller price fluctuations and is considered to be less risky than ARKK 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%JuneJulyAugustSeptemberOctoberNovember
5.23%
13.83%
JOET
ARKK