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

Key characteristics


ONEOJOET
YTD Return14.04%19.71%
1Y Return27.38%33.67%
3Y Return (Ann)5.28%5.01%
Sharpe Ratio2.532.60
Sortino Ratio3.513.55
Omega Ratio1.431.46
Calmar Ratio2.672.23
Martin Ratio12.9215.79
Ulcer Index2.64%2.25%
Daily Std Dev13.22%13.59%
Max Drawdown-40.86%-26.58%
Current Drawdown-2.91%-3.43%

Correlation

-0.50.00.51.00.9

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.

Performance

ONEO vs. JOET - Performance Comparison

In the year-to-date period, ONEO achieves a 14.04% return, which is significantly lower than JOET's 19.71% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.02%
9.21%
ONEO
JOET

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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.


ONEO
Sharpe ratio
The chart of Sharpe ratio for ONEO, currently valued at 2.24, compared to the broader market0.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for ONEO, currently valued at 3.12, compared to the broader market0.005.0010.003.12
Omega ratio
The chart of Omega ratio for ONEO, currently valued at 1.38, compared to the broader market1.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for ONEO, currently valued at 2.69, compared to the broader market0.005.0010.0015.0020.002.69
Martin ratio
The chart of Martin ratio for ONEO, currently valued at 11.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.24
JOET
Sharpe ratio
The chart of Sharpe ratio for JOET, currently valued at 2.60, compared to the broader market0.002.004.006.002.60
Sortino ratio
The chart of Sortino ratio for JOET, currently valued at 3.55, compared to the broader market0.005.0010.003.55
Omega ratio
The chart of Omega ratio for JOET, currently valued at 1.46, compared to the broader market1.001.502.002.503.003.501.46
Calmar ratio
The chart of Calmar ratio for JOET, currently valued at 2.23, compared to the broader market0.005.0010.0015.0020.002.23
Martin ratio
The chart of Martin ratio for JOET, currently valued at 15.79, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.79

ONEO vs. JOET - Sharpe Ratio Comparison

The current ONEO Sharpe Ratio is 2.53, which is comparable to the JOET Sharpe Ratio of 2.60. 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.24
2.60
ONEO
JOET

Dividends

ONEO vs. JOET - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.27%, more than JOET's 1.10% yield.


TTM202320222021202020192018201720162015
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.27%1.56%1.73%1.19%1.28%1.64%1.72%7.69%1.82%0.10%
JOET
Virtus Terranova U.S. Quality Momentum ETF
1.10%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%JuneJulyAugustSeptemberOctoberNovember
-2.91%
-3.43%
ONEO
JOET

Volatility

ONEO vs. JOET - Volatility Comparison

The current volatility for SPDR Russell 1000 Momentum Focus ETF (ONEO) is 2.82%, while Virtus Terranova U.S. Quality Momentum ETF (JOET) has a volatility of 3.17%. 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%JuneJulyAugustSeptemberOctoberNovember
2.82%
3.17%
ONEO
JOET