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

Key characteristics


JOETSPY
YTD Return19.88%21.27%
1Y Return33.86%33.14%
3Y Return (Ann)5.06%8.57%
Sharpe Ratio2.793.04
Sortino Ratio3.804.03
Omega Ratio1.491.57
Calmar Ratio2.374.39
Martin Ratio17.1620.00
Ulcer Index2.24%1.85%
Daily Std Dev13.75%12.15%
Max Drawdown-26.58%-55.19%
Current Drawdown-3.29%-2.32%

Correlation

-0.50.00.51.00.9

The correlation between JOET and SPY 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. SPY - Performance Comparison

In the year-to-date period, JOET achieves a 19.88% return, which is significantly lower than SPY's 21.27% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%50.00%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
53.63%
69.86%
JOET
SPY

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JOET vs. SPY - Expense Ratio Comparison

JOET has a 0.29% expense ratio, which is higher than SPY's 0.09% expense ratio.


JOET
Virtus Terranova U.S. Quality Momentum ETF
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

JOET vs. SPY - 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 S&P 500 ETF (SPY). 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.


JOET
Sharpe ratio
The chart of Sharpe ratio for JOET, currently valued at 2.79, compared to the broader market-2.000.002.004.006.002.79
Sortino ratio
The chart of Sortino ratio for JOET, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for JOET, currently valued at 1.49, compared to the broader market1.001.502.002.503.003.501.49
Calmar ratio
The chart of Calmar ratio for JOET, currently valued at 2.37, compared to the broader market0.005.0010.0015.0020.002.37
Martin ratio
The chart of Martin ratio for JOET, currently valued at 17.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.16
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.00

JOET vs. SPY - Sharpe Ratio Comparison

The current JOET Sharpe Ratio is 2.79, which is comparable to the SPY Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of JOET and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.79
3.04
JOET
SPY

Dividends

JOET vs. SPY - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 1.10%, less than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

JOET vs. SPY - Drawdown Comparison

The maximum JOET drawdown since its inception was -26.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JOET and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.29%
-2.32%
JOET
SPY

Volatility

JOET vs. SPY - Volatility Comparison

Virtus Terranova U.S. Quality Momentum ETF (JOET) and SPDR S&P 500 ETF (SPY) have volatilities of 3.40% and 3.28%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
3.28%
JOET
SPY