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

Performance

JOET vs. SWPPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Terranova U.S. Quality Momentum ETF (JOET) and Schwab S&P 500 Index Fund (SWPPX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.85%
13.26%
JOET
SWPPX

Returns By Period

In the year-to-date period, JOET achieves a 31.68% return, which is significantly higher than SWPPX's 26.66% return.


JOET

YTD

31.68%

1M

7.96%

6M

18.86%

1Y

40.82%

5Y (annualized)

N/A

10Y (annualized)

N/A

SWPPX

YTD

26.66%

1M

3.08%

6M

13.26%

1Y

32.82%

5Y (annualized)

15.76%

10Y (annualized)

13.20%

Key characteristics


JOETSWPPX
Sharpe Ratio2.912.67
Sortino Ratio4.003.55
Omega Ratio1.521.50
Calmar Ratio3.513.88
Martin Ratio18.0817.39
Ulcer Index2.26%1.89%
Daily Std Dev14.01%12.30%
Max Drawdown-26.58%-55.06%
Current Drawdown0.00%-0.46%

Compare stocks, funds, or ETFs

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JOET vs. SWPPX - Expense Ratio Comparison

JOET has a 0.29% expense ratio, which is higher than SWPPX's 0.02% 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 SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Correlation

-0.50.00.51.00.9

The correlation between JOET and SWPPX is 0.91, 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. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Terranova U.S. Quality Momentum ETF (JOET) and Schwab S&P 500 Index Fund (SWPPX). 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 market0.002.004.002.912.67
The chart of Sortino ratio for JOET, currently valued at 4.00, compared to the broader market-2.000.002.004.006.008.0010.0012.004.003.55
The chart of Omega ratio for JOET, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.50
The chart of Calmar ratio for JOET, currently valued at 3.51, compared to the broader market0.005.0010.0015.003.513.88
The chart of Martin ratio for JOET, currently valued at 18.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.0817.39
JOET
SWPPX

The current JOET Sharpe Ratio is 2.91, which is comparable to the SWPPX Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of JOET and SWPPX, 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
2.91
2.67
JOET
SWPPX

Dividends

JOET vs. SWPPX - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 1.00%, less than SWPPX's 1.13% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
SWPPX
Schwab S&P 500 Index Fund
1.13%1.43%1.67%1.17%1.81%1.77%2.20%1.75%1.99%2.15%1.80%1.67%

Drawdowns

JOET vs. SWPPX - Drawdown Comparison

The maximum JOET drawdown since its inception was -26.58%, smaller than the maximum SWPPX drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for JOET and SWPPX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.46%
JOET
SWPPX

Volatility

JOET vs. SWPPX - Volatility Comparison

Virtus Terranova U.S. Quality Momentum ETF (JOET) has a higher volatility of 5.23% compared to Schwab S&P 500 Index Fund (SWPPX) at 3.96%. This indicates that JOET's price experiences larger fluctuations and is considered to be riskier than SWPPX based on this measure. 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
5.23%
3.96%
JOET
SWPPX