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MMTM vs. VFMO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

MMTM vs. VFMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Vanguard U.S. Momentum Factor ETF (VFMO). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
142.14%
130.13%
MMTM
VFMO

Key characteristics

Sharpe Ratio

MMTM:

2.03

VFMO:

1.55

Sortino Ratio

MMTM:

2.76

VFMO:

2.13

Omega Ratio

MMTM:

1.37

VFMO:

1.27

Calmar Ratio

MMTM:

2.97

VFMO:

2.47

Martin Ratio

MMTM:

12.62

VFMO:

9.34

Ulcer Index

MMTM:

2.58%

VFMO:

3.23%

Daily Std Dev

MMTM:

16.06%

VFMO:

19.45%

Max Drawdown

MMTM:

-33.85%

VFMO:

-36.77%

Current Drawdown

MMTM:

-3.86%

VFMO:

-6.44%

Returns By Period

In the year-to-date period, MMTM achieves a 30.78% return, which is significantly higher than VFMO's 27.74% return.


MMTM

YTD

30.78%

1M

0.07%

6M

8.38%

1Y

31.22%

5Y*

15.21%

10Y*

15.12%

VFMO

YTD

27.74%

1M

-4.46%

6M

11.77%

1Y

27.69%

5Y*

15.23%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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%.


VFMO
Vanguard U.S. Momentum Factor ETF
Expense ratio chart for VFMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for MMTM: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

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.


Sharpe ratio
The chart of Sharpe ratio for MMTM, currently valued at 2.03, compared to the broader market0.002.004.002.031.55
The chart of Sortino ratio for MMTM, currently valued at 2.76, compared to the broader market-2.000.002.004.006.008.0010.002.762.13
The chart of Omega ratio for MMTM, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.27
The chart of Calmar ratio for MMTM, currently valued at 2.97, compared to the broader market0.005.0010.0015.002.972.47
The chart of Martin ratio for MMTM, currently valued at 12.62, compared to the broader market0.0020.0040.0060.0080.00100.0012.629.34
MMTM
VFMO

The current MMTM Sharpe Ratio is 2.03, which is higher than the VFMO Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of MMTM and VFMO, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.03
1.55
MMTM
VFMO

Dividends

MMTM vs. VFMO - Dividend Comparison

MMTM's dividend yield for the trailing twelve months is around 0.58%, more than VFMO's 0.45% yield.


TTM20232022202120202019201820172016201520142013
MMTM
SPDR S&P 1500 Momentum Tilt ETF
0.58%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
0.45%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.86%
-6.44%
MMTM
VFMO

Volatility

MMTM vs. VFMO - Volatility Comparison

The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 4.62%, while Vanguard U.S. Momentum Factor ETF (VFMO) has a volatility of 6.04%. 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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.62%
6.04%
MMTM
VFMO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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