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ONEO vs. JOET
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ONEO and JOET is 0.92, 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

ONEO vs. JOET - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Russell 1000 Momentum Focus ETF (ONEO) and Virtus Terranova U.S. Quality Momentum ETF (JOET). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.42%
13.07%
ONEO
JOET

Key characteristics

Sharpe Ratio

ONEO:

1.23

JOET:

1.83

Sortino Ratio

ONEO:

1.76

JOET:

2.51

Omega Ratio

ONEO:

1.22

JOET:

1.33

Calmar Ratio

ONEO:

2.15

JOET:

2.93

Martin Ratio

ONEO:

5.80

JOET:

10.82

Ulcer Index

ONEO:

2.84%

JOET:

2.45%

Daily Std Dev

ONEO:

13.40%

JOET:

14.56%

Max Drawdown

ONEO:

-40.86%

JOET:

-26.58%

Current Drawdown

ONEO:

-6.41%

JOET:

-5.79%

Returns By Period

In the year-to-date period, ONEO achieves a 16.11% return, which is significantly lower than JOET's 26.11% return.


ONEO

YTD

16.11%

1M

-5.40%

6M

8.42%

1Y

16.15%

5Y*

10.65%

10Y*

N/A

JOET

YTD

26.11%

1M

-4.23%

6M

13.07%

1Y

26.35%

5Y*

N/A

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.


ONEO vs. JOET - Expense Ratio Comparison

ONEO has a 0.20% expense ratio, which is lower than JOET's 0.29% expense ratio.


JOET
Virtus Terranova U.S. Quality Momentum ETF
Expense ratio chart for JOET: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for ONEO: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

ONEO vs. JOET - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Momentum Focus ETF (ONEO) and Virtus Terranova U.S. Quality Momentum ETF (JOET). 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 ONEO, currently valued at 1.23, compared to the broader market0.002.004.001.231.83
The chart of Sortino ratio for ONEO, currently valued at 1.76, compared to the broader market-2.000.002.004.006.008.0010.001.762.51
The chart of Omega ratio for ONEO, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.33
The chart of Calmar ratio for ONEO, currently valued at 2.15, compared to the broader market0.005.0010.0015.002.152.93
The chart of Martin ratio for ONEO, currently valued at 5.80, compared to the broader market0.0020.0040.0060.0080.00100.005.8010.82
ONEO
JOET

The current ONEO Sharpe Ratio is 1.23, which is lower than the JOET Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of ONEO and JOET, 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
1.23
1.83
ONEO
JOET

Dividends

ONEO vs. JOET - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.29%, more than JOET's 0.69% yield.


TTM202320222021202020192018201720162015
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.29%1.56%1.74%1.19%1.28%1.63%1.72%7.69%1.82%0.10%
JOET
Virtus Terranova U.S. Quality Momentum ETF
0.69%1.32%1.25%0.42%0.08%0.00%0.00%0.00%0.00%0.00%

Drawdowns

ONEO vs. JOET - Drawdown Comparison

The maximum ONEO drawdown since its inception was -40.86%, which is greater than JOET's maximum drawdown of -26.58%. Use the drawdown chart below to compare losses from any high point for ONEO and JOET. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.41%
-5.79%
ONEO
JOET

Volatility

ONEO vs. JOET - Volatility Comparison

The current volatility for SPDR Russell 1000 Momentum Focus ETF (ONEO) is 4.25%, while Virtus Terranova U.S. Quality Momentum ETF (JOET) has a volatility of 5.49%. This indicates that ONEO experiences smaller price fluctuations and is considered to be less risky than JOET based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.25%
5.49%
ONEO
JOET
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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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