MSSS vs. VFMO

Last updated Jun 4, 2026

MSSS (Monarch Select Subsector ETF) and VFMO (Vanguard U.S. Momentum Factor ETF) are both exchange-traded funds - MSSS is a Mid Cap Blend Equities fund tracking the Monarch Select Subsector Index, while VFMO is a Momentum fund actively managed by Vanguard. MSSS is passively managed, while VFMO is actively managed. Over the past year, MSSS returned 19.87% vs 43.34% for VFMO. A 0.76 correlation means they provide meaningful diversification when combined. MSSS charges 1.43%/yr vs 0.13%/yr for VFMO.

Performance

MSSS vs. VFMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Monarch Select Subsector ETF (MSSS) and Vanguard U.S. Momentum Factor ETF (VFMO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSSS achieves a 12.62% return, which is significantly lower than VFMO's 23.68% return.

MSSS

• 1D: -0.73%
• 1M: 4.26%
• YTD: 12.62%
• 6M: 11.81%
• 1Y: 19.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —

VFMO

• 1D: 0.11%
• 1M: 5.53%
• YTD: 23.68%
• 6M: 23.37%
• 1Y: 43.34%
• 3Y*: 27.93%
• 5Y*: 13.84%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

MSSS vs. VFMO - Yearly Performance Comparison

	2026 (YTD)	2025	2024
MSSS Monarch Select Subsector ETF	12.62%	10.31%	9.27%
VFMO Vanguard U.S. Momentum Factor ETF	23.68%	17.39%	10.76%

Correlation

The correlation between MSSS and VFMO is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.66
Correlation (All Time) Calculated using the full available price history since Mar 8, 2024	0.76

The correlation between MSSS and VFMO shifts across timeframes, from 0.66 (1 year) to 0.76 (all time), reflecting how their relationship changes across market environments.

Return for Risk

MSSS vs. VFMO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MSSS

MSSS Risk / Return Rank: 44
MSSS Sharpe Ratio Rank: 44
MSSS Sortino Ratio Rank: 46
MSSS Omega Ratio Rank: 41
MSSS Calmar Ratio Rank: 40
MSSS Martin Ratio Rank: 48

VFMO

VFMO Risk / Return Rank: 65
VFMO Sharpe Ratio Rank: 59
VFMO Sortino Ratio Rank: 55
VFMO Omega Ratio Rank: 56
VFMO Calmar Ratio Rank: 77
VFMO Martin Ratio Rank: 76

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MSSS vs. VFMO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Monarch Select Subsector ETF (MSSS) 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.

	MSSS	VFMO	Difference
Sharpe ratio Return per unit of total volatility	1.52	2.05	-0.53
Sortino ratio Return per unit of downside risk	2.27	2.70	-0.43
Omega ratio Gain probability vs. loss probability	1.26	1.35	-0.09
Calmar ratio Return relative to maximum drawdown	1.96	3.96	-2.00
Martin ratio Return relative to average drawdown	7.71	14.97	-7.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MSSS vs. VFMO - Sharpe Ratio Comparison

The current MSSS Sharpe Ratio is 1.52, which is comparable to the VFMO Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of MSSS and VFMO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MSSS	VFMO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.52	2.05	-0.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.64	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.92	0.66	+0.26

Drawdowns

MSSS vs. VFMO - Drawdown Comparison

The maximum MSSS drawdown since its inception was -19.14%, smaller than the maximum VFMO drawdown of -36.77%. Use the drawdown chart below to compare losses from any high point for MSSS and VFMO.

Drawdown Indicators

	MSSS	VFMO	Difference
Max Drawdown Largest peak-to-trough decline	-19.14%	-36.77%	+17.63%
Max Drawdown (1Y) Largest decline over 1 year	-10.18%	-10.98%	+0.80%
Max Drawdown (3Y) Largest decline over 3 years	—	-24.40%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-25.80%	—
Current Drawdown Current decline from peak	-1.31%	0.00%	-1.31%
Average Drawdown Average peak-to-trough decline	-3.08%	-7.77%	+4.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.58%	2.90%	-0.32%

Volatility

MSSS vs. VFMO - Volatility Comparison

The current volatility for Monarch Select Subsector ETF (MSSS) is 3.13%, while Vanguard U.S. Momentum Factor ETF (VFMO) has a volatility of 6.20%. This indicates that MSSS 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.

Volatility by Period

	MSSS	VFMO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.13%	6.20%	-3.07%
Volatility (6M) Calculated over the trailing 6-month period	9.81%	16.37%	-6.56%
Volatility (1Y) Calculated over the trailing 1-year period	13.11%	21.20%	-8.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.04%	21.70%	-5.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.04%	23.57%	-7.53%

MSSS vs. VFMO - Expense Ratio Comparison

MSSS has a 1.43% expense ratio, which is higher than VFMO's 0.13% expense ratio.

Dividends

MSSS vs. VFMO - Dividend Comparison

MSSS's dividend yield for the trailing twelve months is around 0.34%, less than VFMO's 0.63% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
MSSS Monarch Select Subsector ETF	0.34%	0.21%	0.42%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VFMO Vanguard U.S. Momentum Factor ETF	0.63%	0.82%	0.72%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%

Frequently Asked Questions

Can I hold both MSSS and VFMO in my portfolio?

MSSS and VFMO have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSSS or VFMO?

VFMO has higher volatility (6.20%) compared to MSSS (3.13%). In terms of maximum drawdown, MSSS dropped -19.14% vs VFMO's -36.77%.

Which ETF is better, MSSS or VFMO?

On 1-year performance, VFMO leads with 43.34% vs 19.87% for MSSS. On fees, VFMO is cheaper at 0.13% per year. On volatility, MSSS has been the lower-risk option at 3.13%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MSSS or VFMO?

Over the 1-year period, VFMO has performed better with a 43.34% return vs 19.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MSSS or VFMO?

VFMO is cheaper with a 0.13% expense ratio, compared with 1.43% for MSSS.

Which ETF pays a higher dividend yield, MSSS or VFMO?

VFMO has the higher dividend yield at 0.63%, compared with 0.34% for MSSS.

What is the main difference between MSSS and VFMO?

MSSS is categorized as Mid Cap Blend Equities, while VFMO is Momentum. They also come from different issuers: Monarch and Vanguard. Their fees differ too: 1.43% for MSSS and 0.13% for VFMO.

Which has better risk-adjusted returns?

VFMO currently has the higher Sharpe Ratio (2.05 vs 1.52), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.