PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ONEO vs. QMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ONEO vs. QMOM - Performance Comparison

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

120.00%140.00%160.00%180.00%200.00%JuneJulyAugustSeptemberOctoberNovember
150.74%
187.01%
ONEO
QMOM

Returns By Period

In the year-to-date period, ONEO achieves a 18.50% return, which is significantly lower than QMOM's 35.73% return.


ONEO

YTD

18.50%

1M

1.11%

6M

9.58%

1Y

29.44%

5Y (annualized)

11.68%

10Y (annualized)

N/A

QMOM

YTD

35.73%

1M

1.56%

6M

14.11%

1Y

48.92%

5Y (annualized)

16.87%

10Y (annualized)

N/A

Key characteristics


ONEOQMOM
Sharpe Ratio2.192.37
Sortino Ratio3.043.14
Omega Ratio1.371.39
Calmar Ratio3.821.57
Martin Ratio10.9616.74
Ulcer Index2.64%2.86%
Daily Std Dev13.26%20.22%
Max Drawdown-40.86%-39.13%
Current Drawdown-2.53%-4.47%

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. QMOM - Expense Ratio Comparison

ONEO has a 0.20% expense ratio, which is lower than QMOM's 0.49% expense ratio.


QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
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%

Correlation

-0.50.00.51.00.7

The correlation between ONEO and QMOM is 0.71, 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.

Risk-Adjusted Performance

ONEO vs. QMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Momentum Focus ETF (ONEO) 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.


Sharpe ratio
The chart of Sharpe ratio for ONEO, currently valued at 2.16, compared to the broader market0.002.004.002.162.37
The chart of Sortino ratio for ONEO, currently valued at 3.01, compared to the broader market-2.000.002.004.006.008.0010.0012.003.013.14
The chart of Omega ratio for ONEO, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.39
The chart of Calmar ratio for ONEO, currently valued at 3.78, compared to the broader market0.005.0010.0015.003.781.57
The chart of Martin ratio for ONEO, currently valued at 10.83, compared to the broader market0.0020.0040.0060.0080.00100.0010.8316.74
ONEO
QMOM

The current ONEO Sharpe Ratio is 2.19, which is comparable to the QMOM Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of ONEO and QMOM, 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
2.16
2.37
ONEO
QMOM

Dividends

ONEO vs. QMOM - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.22%, more than QMOM's 0.64% yield.


TTM202320222021202020192018201720162015
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.22%1.56%1.74%1.19%1.28%1.63%1.72%7.69%1.82%0.10%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.64%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%

Drawdowns

ONEO vs. QMOM - Drawdown Comparison

The maximum ONEO drawdown since its inception was -40.86%, roughly equal to the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for ONEO and QMOM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.53%
-4.47%
ONEO
QMOM

Volatility

ONEO vs. QMOM - Volatility Comparison

The current volatility for SPDR Russell 1000 Momentum Focus ETF (ONEO) is 4.17%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 6.06%. This indicates that ONEO 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.17%
6.06%
ONEO
QMOM