MMTM vs. QMOM
Compare and contrast key facts about SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
MMTM and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MMTM is a passively managed fund by State Street that tracks the performance of the S&P 1500 Positive Momentum Tilt Index. It was launched on Oct 24, 2012. QMOM is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Quantity Momentum (USD)(TR). It was launched on Dec 2, 2015. Both MMTM and QMOM 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: MMTM or QMOM.
Key characteristics
| MMTM | QMOM | |
|---|---|---|
| YTD Return | 32.73% | 42.09% |
| 1Y Return | 43.00% | 59.71% |
| 3Y Return (Ann) | 11.20% | 9.19% |
| 5Y Return (Ann) | 16.47% | 18.24% |
| Sharpe Ratio | 2.90 | 3.05 |
| Sortino Ratio | 3.84 | 3.93 |
| Omega Ratio | 1.53 | 1.50 |
| Calmar Ratio | 4.17 | 1.95 |
| Martin Ratio | 18.22 | 22.07 |
| Ulcer Index | 2.50% | 2.83% |
| Daily Std Dev | 15.66% | 20.48% |
| Max Drawdown | -33.85% | -39.13% |
| Current Drawdown | -0.02% | 0.00% |
Correlation
The correlation between MMTM and QMOM is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
MMTM vs. QMOM - Performance Comparison
In the year-to-date period, MMTM achieves a 32.73% return, which is significantly lower than QMOM's 42.09% 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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MMTM vs. QMOM - Expense Ratio Comparison
MMTM has a 0.12% expense ratio, which is lower than QMOM's 0.49% expense ratio.
Risk-Adjusted Performance
MMTM vs. QMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). 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
MMTM vs. QMOM - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.75%, more than QMOM's 0.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.75% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.63% | 1.52% | 1.98% | 1.68% | 1.54% | 1.74% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.62% | 0.87% | 1.59% | 0.13% | 0.08% | 0.01% | 0.05% | 0.13% | 0.33% | 0.01% | 0.00% | 0.00% |
Drawdowns
MMTM vs. QMOM - Drawdown Comparison
The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for MMTM and QMOM. For additional features, visit the drawdowns tool.
Volatility
MMTM vs. QMOM - Volatility Comparison
The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 4.73%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 5.54%. This indicates that MMTM experiences smaller price fluctuations and is considered to be less risky than QMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.