JOET vs. ONEO
Compare and contrast key facts about Virtus Terranova U.S. Quality Momentum ETF (JOET) and SPDR Russell 1000 Momentum Focus ETF (ONEO).
JOET and ONEO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JOET is a passively managed fund by Virtus Investment Partners that tracks the performance of the Terranova U.S. Quality Momentum Index. It was launched on Nov 17, 2020. ONEO is a passively managed fund by State Street that tracks the performance of the Russell 1000 Momentum Focused Factor Index. It was launched on Dec 2, 2015. Both JOET and ONEO 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: JOET or ONEO.
Key characteristics
| JOET | ONEO | |
|---|---|---|
| YTD Return | 19.71% | 14.04% |
| 1Y Return | 33.67% | 27.38% |
| 3Y Return (Ann) | 5.01% | 5.28% |
| Sharpe Ratio | 2.60 | 2.53 |
| Sortino Ratio | 3.55 | 3.51 |
| Omega Ratio | 1.46 | 1.43 |
| Calmar Ratio | 2.23 | 2.67 |
| Martin Ratio | 15.79 | 12.92 |
| Ulcer Index | 2.25% | 2.64% |
| Daily Std Dev | 13.59% | 13.22% |
| Max Drawdown | -26.58% | -40.86% |
| Current Drawdown | -3.43% | -2.91% |
Correlation
The correlation between JOET and ONEO is 0.92, 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
JOET vs. ONEO - Performance Comparison
In the year-to-date period, JOET achieves a 19.71% return, which is significantly higher than ONEO's 14.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JOET vs. ONEO - Expense Ratio Comparison
JOET has a 0.29% expense ratio, which is higher than ONEO's 0.20% expense ratio.
Risk-Adjusted Performance
JOET vs. ONEO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus Terranova U.S. Quality Momentum ETF (JOET) and SPDR Russell 1000 Momentum Focus ETF (ONEO). 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
JOET vs. ONEO - Dividend Comparison
JOET's dividend yield for the trailing twelve months is around 1.10%, less than ONEO's 1.27% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
JOET Virtus Terranova U.S. Quality Momentum ETF | 1.10% | 1.32% | 1.25% | 0.42% | 0.08% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ONEO SPDR Russell 1000 Momentum Focus ETF | 1.27% | 1.56% | 1.73% | 1.19% | 1.28% | 1.64% | 1.72% | 7.69% | 1.82% | 0.10% |
Drawdowns
JOET vs. ONEO - Drawdown Comparison
The maximum JOET drawdown since its inception was -26.58%, smaller than the maximum ONEO drawdown of -40.86%. Use the drawdown chart below to compare losses from any high point for JOET and ONEO. For additional features, visit the drawdowns tool.
Volatility
JOET vs. ONEO - Volatility Comparison
Virtus Terranova U.S. Quality Momentum ETF (JOET) has a higher volatility of 3.17% compared to SPDR Russell 1000 Momentum Focus ETF (ONEO) at 2.82%. This indicates that JOET's price experiences larger fluctuations and is considered to be riskier than ONEO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.