ONEO vs. QMOM
Compare and contrast key facts about SPDR Russell 1000 Momentum Focus ETF (ONEO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
ONEO and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ONEO is a passively managed fund by State Street that tracks the performance of the Russell 1000 Momentum Focused Factor Index. It was launched on Dec 2, 2015. 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 ONEO 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: ONEO or QMOM.
Key characteristics
| ONEO | QMOM | |
|---|---|---|
| YTD Return | 13.89% | 28.89% |
| 1Y Return | 27.22% | 47.27% |
| 3Y Return (Ann) | 5.42% | 6.38% |
| 5Y Return (Ann) | 11.12% | 16.82% |
| Sharpe Ratio | 2.59 | 2.67 |
| Sortino Ratio | 3.57 | 3.51 |
| Omega Ratio | 1.44 | 1.44 |
| Calmar Ratio | 2.46 | 1.56 |
| Martin Ratio | 13.23 | 19.16 |
| Ulcer Index | 2.63% | 2.82% |
| Daily Std Dev | 13.41% | 20.24% |
| Max Drawdown | -40.86% | -39.13% |
| Current Drawdown | -3.03% | -3.56% |
Correlation
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.
Performance
ONEO vs. QMOM - Performance Comparison
In the year-to-date period, ONEO achieves a 13.89% return, which is significantly lower than QMOM's 28.89% 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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ONEO vs. QMOM - Expense Ratio Comparison
ONEO has a 0.20% expense ratio, which is lower than QMOM's 0.49% expense ratio.
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.
Dividends
ONEO vs. QMOM - Dividend Comparison
ONEO's dividend yield for the trailing twelve months is around 1.27%, more than QMOM's 0.68% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.68% | 0.87% | 1.59% | 0.12% | 0.08% | 0.01% | 0.05% | 0.13% | 0.34% | 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.
Volatility
ONEO vs. QMOM - Volatility Comparison
The current volatility for SPDR Russell 1000 Momentum Focus ETF (ONEO) is 2.99%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 4.53%. 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.