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

Performance

JOET vs. FFND - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.76%
10.65%
JOET
FFND

Returns By Period

In the year-to-date period, JOET achieves a 28.55% return, which is significantly higher than FFND's 25.15% return.


JOET

YTD

28.55%

1M

4.23%

6M

15.76%

1Y

37.89%

5Y (annualized)

N/A

10Y (annualized)

N/A

FFND

YTD

25.15%

1M

5.12%

6M

10.65%

1Y

34.63%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


JOETFFND
Sharpe Ratio2.731.85
Sortino Ratio3.772.46
Omega Ratio1.491.33
Calmar Ratio3.271.10
Martin Ratio16.868.42
Ulcer Index2.26%4.02%
Daily Std Dev13.93%18.33%
Max Drawdown-26.58%-47.84%
Current Drawdown-1.15%-6.81%

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JOET vs. FFND - Expense Ratio Comparison

JOET has a 0.29% expense ratio, which is lower than FFND's 1.01% expense ratio.


FFND
Future Fund Active ETF
Expense ratio chart for FFND: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
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

-0.50.00.51.00.8

The correlation between JOET and FFND is 0.83, 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

JOET vs. FFND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Terranova U.S. Quality Momentum ETF (JOET) and Future Fund Active ETF (FFND). 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 2.73, compared to the broader market0.002.004.002.731.85
The chart of Sortino ratio for JOET, currently valued at 3.77, compared to the broader market-2.000.002.004.006.008.0010.0012.003.772.46
The chart of Omega ratio for JOET, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.33
The chart of Calmar ratio for JOET, currently valued at 3.27, compared to the broader market0.005.0010.0015.003.271.10
The chart of Martin ratio for JOET, currently valued at 16.86, compared to the broader market0.0020.0040.0060.0080.00100.0016.868.42
JOET
FFND

The current JOET Sharpe Ratio is 2.73, which is higher than the FFND Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of JOET and FFND, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.73
1.85
JOET
FFND

Dividends

JOET vs. FFND - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 1.03%, while FFND has not paid dividends to shareholders.


TTM2023202220212020
JOET
Virtus Terranova U.S. Quality Momentum ETF
1.03%1.32%1.25%0.42%0.08%
FFND
Future Fund Active ETF
0.00%0.00%0.00%0.03%0.00%

Drawdowns

JOET vs. FFND - Drawdown Comparison

The maximum JOET drawdown since its inception was -26.58%, smaller than the maximum FFND drawdown of -47.84%. Use the drawdown chart below to compare losses from any high point for JOET and FFND. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.15%
-6.81%
JOET
FFND

Volatility

JOET vs. FFND - Volatility Comparison

The current volatility for Virtus Terranova U.S. Quality Momentum ETF (JOET) is 5.13%, while Future Fund Active ETF (FFND) has a volatility of 5.70%. This indicates that JOET experiences smaller price fluctuations and is considered to be less risky than FFND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.13%
5.70%
JOET
FFND