MTUM vs. QMOM
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
MTUM and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. 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 MTUM 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: MTUM or QMOM.
Key characteristics
| MTUM | QMOM | |
|---|---|---|
| YTD Return | 13.05% | 13.73% |
| 1Y Return | 28.52% | 34.18% |
| 3Y Return (Ann) | 2.52% | 3.95% |
| 5Y Return (Ann) | 10.49% | 13.62% |
| Sharpe Ratio | 1.78 | 1.78 |
| Daily Std Dev | 15.49% | 18.94% |
| Max Drawdown | -34.08% | -39.13% |
| Current Drawdown | -6.26% | -13.26% |
Correlation
The correlation between MTUM and QMOM is 0.78, 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
MTUM vs. QMOM - Performance Comparison
In the year-to-date period, MTUM achieves a 13.05% return, which is significantly lower than QMOM's 13.73% 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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MTUM vs. QMOM - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than QMOM's 0.49% expense ratio.
Risk-Adjusted Performance
MTUM vs. QMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) 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
MTUM vs. QMOM - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.83%, more than QMOM's 0.77% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.83% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.77% | 0.87% | 1.59% | 0.12% | 0.08% | 0.01% | 0.05% | 0.13% | 0.34% | 0.01% | 0.00% | 0.00% |
Drawdowns
MTUM vs. QMOM - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for MTUM and QMOM. For additional features, visit the drawdowns tool.
Volatility
MTUM vs. QMOM - Volatility Comparison
The current volatility for iShares Edge MSCI USA Momentum Factor ETF (MTUM) is 6.00%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 6.70%. This indicates that MTUM 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.