JOET vs. SWPPX
Compare and contrast key facts about Virtus Terranova U.S. Quality Momentum ETF (JOET) and Schwab S&P 500 Index Fund (SWPPX).
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. SWPPX is managed by Charles Schwab.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JOET or SWPPX.
Key characteristics
| JOET | SWPPX | |
|---|---|---|
| YTD Return | 19.71% | 21.09% |
| 1Y Return | 33.67% | 32.94% |
| 3Y Return (Ann) | 5.01% | 8.42% |
| Sharpe Ratio | 2.60 | 2.81 |
| Sortino Ratio | 3.55 | 3.72 |
| Omega Ratio | 1.46 | 1.52 |
| Calmar Ratio | 2.23 | 4.04 |
| Martin Ratio | 15.79 | 18.26 |
| Ulcer Index | 2.25% | 1.87% |
| Daily Std Dev | 13.59% | 12.18% |
| Max Drawdown | -26.58% | -55.06% |
| Current Drawdown | -3.43% | -2.56% |
Correlation
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.
Performance
JOET vs. SWPPX - Performance Comparison
In the year-to-date period, JOET achieves a 19.71% return, which is significantly lower than SWPPX's 21.09% 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. SWPPX - Expense Ratio Comparison
JOET has a 0.29% expense ratio, which is higher than SWPPX's 0.02% expense ratio.
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.
Dividends
JOET vs. SWPPX - Dividend Comparison
JOET's dividend yield for the trailing twelve months is around 1.10%, less than SWPPX's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SWPPX Schwab S&P 500 Index Fund | 1.18% | 1.43% | 1.67% | 1.27% | 1.81% | 1.95% | 2.66% | 1.78% | 2.55% | 3.17% | 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.
Volatility
JOET vs. SWPPX - Volatility Comparison
Virtus Terranova U.S. Quality Momentum ETF (JOET) and Schwab S&P 500 Index Fund (SWPPX) have volatilities of 3.17% and 3.10%, 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.