PDP vs. QMOM

Last updated Jun 4, 2026

PDP (Invesco Dorsey Wright Momentum ETF) and QMOM (Alpha Architect U.S. Quantitative Momentum ETF) are both Momentum funds. PDP is passively managed, while QMOM is actively managed. Over the past 10 years, PDP returned 13.60%/yr vs 13.82%/yr for QMOM. Their correlation of 0.83 suggests significant overlap in exposure. PDP charges 0.62%/yr vs 0.28%/yr for QMOM.

Performance

PDP vs. QMOM - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with PDP having a 24.95% return and QMOM slightly lower at 24.65%. Both investments have delivered pretty close results over the past 10 years, with PDP having a 13.60% annualized return and QMOM not far ahead at 13.82%.

PDP

• 1D: 0.57%
• 1M: 6.22%
• YTD: 24.95%
• 6M: 24.18%
• 1Y: 37.20%
• 3Y*: 24.44%
• 5Y*: 11.32%
• 10Y*: 13.60%

QMOM

• 1D: -0.37%
• 1M: 6.10%
• YTD: 24.65%
• 6M: 26.71%
• 1Y: 31.51%
• 3Y*: 23.22%
• 5Y*: 11.55%
• 10Y*: 13.82%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PDP vs. QMOM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PDP Invesco Dorsey Wright Momentum ETF	24.95%	8.37%	26.06%	20.88%	-24.49%	7.72%	36.59%	33.13%	-5.96%	23.30%
QMOM Alpha Architect U.S. Quantitative Momentum ETF	24.65%	2.36%	30.43%	9.50%	-6.99%	-4.06%	61.94%	28.39%	-11.75%	15.92%

Correlation

The correlation between PDP and QMOM is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016	0.83

The correlation between PDP and QMOM has been stable across timeframes, ranging from 0.83 to 0.91 - a consistent structural relationship.

PDP vs. QMOM - Sectors Allocation Comparison

Sectors	PDP	QMOM
Industrials	39.2%	37.5%
Technology	26.9%	23.9%
Healthcare	6.5%	8.9%
Energy	6.3%	5.5%
Consumer Cyclical	5.5%	7.4%
Financial Services	4.4%	1.9%
Consumer Defensive	3.8%	1.6%
Basic Materials	2.3%	9.0%
Communication Services	2.2%	4.2%
Utilities	1.6%	2.0%
Real Estate	1.3%	-

Return for Risk

PDP vs. QMOM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PDP

PDP Risk / Return Rank: 53
PDP Sharpe Ratio Rank: 49
PDP Sortino Ratio Rank: 46
PDP Omega Ratio Rank: 46
PDP Calmar Ratio Rank: 63
PDP Martin Ratio Rank: 61

QMOM

QMOM Risk / Return Rank: 42
QMOM Sharpe Ratio Rank: 37
QMOM Sortino Ratio Rank: 36
QMOM Omega Ratio Rank: 37
QMOM Calmar Ratio Rank: 50
QMOM Martin Ratio Rank: 53

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PDP vs. QMOM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Momentum ETF (PDP) 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.

	PDP	QMOM	Difference
Sharpe ratio: Return per unit of total volatility	1.70	1.36	+0.34
Sortino ratio: Return per unit of downside risk	2.29	1.91	+0.39
Omega ratio: Gain probability vs. loss probability	1.30	1.25	+0.05
Calmar ratio: Return relative to maximum drawdown	3.15	2.50	+0.64
Martin ratio: Return relative to average drawdown	11.16	9.15	+2.01
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PDP vs. QMOM - Sharpe Ratio Comparison

The current PDP Sharpe Ratio is 1.70, which is comparable to the QMOM Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of PDP and QMOM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PDP	QMOM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.70	1.36	+0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	0.48	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	0.52	+0.11
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.52	-0.06

Drawdowns

PDP vs. QMOM - Drawdown Comparison

The maximum PDP drawdown since its inception was -59.34%, which is greater than QMOM's maximum drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for PDP and QMOM.

Drawdown Indicators

	PDP	QMOM	Difference
Max Drawdown Largest peak-to-trough decline	-59.34%	-39.13%	-20.21%
Max Drawdown (1Y) Largest decline over 1 year	-11.87%	-12.65%	+0.78%
Max Drawdown (3Y) Largest decline over 3 years	-23.79%	-26.46%	+2.67%
Max Drawdown (5Y) Largest decline over 5 years	-33.91%	-26.82%	-7.09%
Max Drawdown (10Y) Largest decline over 10 years	-34.70%	-39.13%	+4.43%
Current Drawdown Current decline from peak	0.00%	-0.37%	+0.37%
Average Drawdown Average peak-to-trough decline	-10.61%	-12.92%	+2.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	3.45%	-0.11%

Volatility

PDP vs. QMOM - Volatility Comparison

The current volatility for Invesco Dorsey Wright Momentum ETF (PDP) is 6.51%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 8.32%. This indicates that PDP 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.

Volatility by Period

	PDP	QMOM	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.51%	8.32%	-1.81%
Volatility (6M) Calculated over the trailing 6-month period	17.34%	19.78%	-2.44%
Volatility (1Y) Calculated over the trailing 1-year period	21.94%	23.30%	-1.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.00%	24.19%	-2.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.59%	26.49%	-4.90%

PDP vs. QMOM - Expense Ratio Comparison

PDP has a 0.62% expense ratio, which is higher than QMOM's 0.28% expense ratio.

Dividends

PDP vs. QMOM - Dividend Comparison

PDP's dividend yield for the trailing twelve months is around 0.11%, less than QMOM's 0.44% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PDP Invesco Dorsey Wright Momentum ETF	0.11%	0.17%	0.15%	0.42%	0.45%	0.00%	0.11%	0.25%	0.18%	0.28%	0.81%	0.39%
QMOM Alpha Architect U.S. Quantitative Momentum ETF	0.44%	0.54%	1.40%	0.87%	1.59%	0.12%	0.08%	0.01%	0.05%	0.13%	0.34%	0.00%

Frequently Asked Questions

Can I hold both PDP and QMOM in my portfolio?

With a correlation of 0.91, PDP and QMOM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, PDP or QMOM?

QMOM has higher volatility (8.32%) compared to PDP (6.51%). In terms of maximum drawdown, PDP dropped -59.34% vs QMOM's -39.13%.

Which ETF is better, PDP or QMOM?

On 10-year performance, QMOM leads with 13.82% vs 13.60% for PDP. On fees, QMOM is cheaper at 0.28% per year. On volatility, PDP has been the lower-risk option at 6.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PDP or QMOM?

Over the 10-year period, QMOM has performed better with a 13.82% return vs 13.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PDP or QMOM?

QMOM is cheaper with a 0.28% expense ratio, compared with 0.62% for PDP.

Which ETF pays a higher dividend yield, PDP or QMOM?

QMOM has the higher dividend yield at 0.44%, compared with 0.11% for PDP.

What is the main difference between PDP and QMOM?

They also come from different issuers: Invesco and Alpha Architect. Their fees differ too: 0.62% for PDP and 0.28% for QMOM.

Which has better risk-adjusted returns?

PDP currently has the higher Sharpe Ratio (1.70 vs 1.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.