QDVA.DE vs. JMOM
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor UCITS ETF (QDVA.DE) and JPMorgan U.S. Momentum Factor ETF (JMOM).
QDVA.DE and JMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QDVA.DE is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum. It was launched on Oct 13, 2016. JMOM is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Momentum Factor Index. It was launched on Nov 8, 2017. Both QDVA.DE and JMOM 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: QDVA.DE or JMOM.
Key characteristics
| QDVA.DE | JMOM | |
|---|---|---|
| YTD Return | 40.97% | 34.07% |
| 1Y Return | 47.54% | 46.01% |
| 3Y Return (Ann) | 7.96% | 9.04% |
| 5Y Return (Ann) | 13.62% | 17.11% |
| Sharpe Ratio | 2.52 | 3.48 |
| Sortino Ratio | 3.26 | 4.67 |
| Omega Ratio | 1.48 | 1.63 |
| Calmar Ratio | 2.93 | 4.00 |
| Martin Ratio | 12.69 | 23.41 |
| Ulcer Index | 3.63% | 2.08% |
| Daily Std Dev | 18.22% | 13.88% |
| Max Drawdown | -33.34% | -34.31% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between QDVA.DE and JMOM is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
QDVA.DE vs. JMOM - Performance Comparison
In the year-to-date period, QDVA.DE achieves a 40.97% return, which is significantly higher than JMOM's 34.07% 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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QDVA.DE vs. JMOM - Expense Ratio Comparison
QDVA.DE has a 0.20% expense ratio, which is higher than JMOM's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
QDVA.DE vs. JMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor UCITS ETF (QDVA.DE) and JPMorgan U.S. Momentum Factor ETF (JMOM). 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
QDVA.DE vs. JMOM - Dividend Comparison
QDVA.DE has not paid dividends to shareholders, while JMOM's dividend yield for the trailing twelve months is around 0.72%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
QDVA.DE iShares Edge MSCI USA Momentum Factor UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JMOM JPMorgan U.S. Momentum Factor ETF | 0.72% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% |
Drawdowns
QDVA.DE vs. JMOM - Drawdown Comparison
The maximum QDVA.DE drawdown since its inception was -33.34%, roughly equal to the maximum JMOM drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for QDVA.DE and JMOM. For additional features, visit the drawdowns tool.
Volatility
QDVA.DE vs. JMOM - Volatility Comparison
The current volatility for iShares Edge MSCI USA Momentum Factor UCITS ETF (QDVA.DE) is 3.32%, while JPMorgan U.S. Momentum Factor ETF (JMOM) has a volatility of 4.51%. This indicates that QDVA.DE experiences smaller price fluctuations and is considered to be less risky than JMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.