MMTM vs. VFMO
Compare and contrast key facts about SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Vanguard U.S. Momentum Factor ETF (VFMO).
MMTM and VFMO 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. VFMO is managed by Vanguard. It was launched on Feb 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MMTM or VFMO.
Key characteristics
| MMTM | VFMO | |
|---|---|---|
| YTD Return | 32.75% | 34.00% |
| 1Y Return | 45.67% | 57.12% |
| 3Y Return (Ann) | 11.16% | 8.56% |
| 5Y Return (Ann) | 16.57% | 17.71% |
| Sharpe Ratio | 2.83 | 2.90 |
| Sortino Ratio | 3.76 | 3.75 |
| Omega Ratio | 1.52 | 1.48 |
| Calmar Ratio | 4.07 | 2.93 |
| Martin Ratio | 17.81 | 18.28 |
| Ulcer Index | 2.50% | 3.04% |
| Daily Std Dev | 15.74% | 19.17% |
| Max Drawdown | -33.85% | -36.77% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between MMTM and VFMO is 0.87, 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
MMTM vs. VFMO - Performance Comparison
The year-to-date returns for both investments are quite close, with MMTM having a 32.75% return and VFMO slightly higher at 34.00%. 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. VFMO - Expense Ratio Comparison
MMTM has a 0.12% expense ratio, which is lower than VFMO's 0.13% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
MMTM vs. VFMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Vanguard U.S. Momentum Factor ETF (VFMO). 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. VFMO - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.75%, more than VFMO's 0.64% 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% |
VFMO Vanguard U.S. Momentum Factor ETF | 0.64% | 0.89% | 1.72% | 0.81% | 0.45% | 1.23% | 0.70% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MMTM vs. VFMO - Drawdown Comparison
The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum VFMO drawdown of -36.77%. Use the drawdown chart below to compare losses from any high point for MMTM and VFMO. For additional features, visit the drawdowns tool.
Volatility
MMTM vs. VFMO - Volatility Comparison
The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 4.75%, while Vanguard U.S. Momentum Factor ETF (VFMO) has a volatility of 5.40%. This indicates that MMTM experiences smaller price fluctuations and is considered to be less risky than VFMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.