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QMOM vs. AVUV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

QMOM vs. AVUV - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.16%
9.08%
QMOM
AVUV

Returns By Period

In the year-to-date period, QMOM achieves a 38.48% return, which is significantly higher than AVUV's 13.78% return.


QMOM

YTD

38.48%

1M

5.00%

6M

15.16%

1Y

49.77%

5Y (annualized)

17.17%

10Y (annualized)

N/A

AVUV

YTD

13.78%

1M

2.79%

6M

9.08%

1Y

27.70%

5Y (annualized)

16.32%

10Y (annualized)

N/A

Key characteristics


QMOMAVUV
Sharpe Ratio2.481.33
Sortino Ratio3.262.03
Omega Ratio1.411.25
Calmar Ratio1.682.56
Martin Ratio17.426.72
Ulcer Index2.87%4.18%
Daily Std Dev20.21%21.10%
Max Drawdown-39.13%-49.42%
Current Drawdown-2.54%-3.75%

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QMOM vs. AVUV - Expense Ratio Comparison

QMOM has a 0.49% expense ratio, which is higher than AVUV's 0.25% 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 AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.6

The correlation between QMOM and AVUV is 0.64, 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.

Risk-Adjusted Performance

QMOM vs. AVUV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Avantis U.S. Small Cap Value ETF (AVUV). 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 QMOM, currently valued at 2.48, compared to the broader market0.002.004.006.002.481.33
The chart of Sortino ratio for QMOM, currently valued at 3.26, compared to the broader market-2.000.002.004.006.008.0010.0012.003.262.03
The chart of Omega ratio for QMOM, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.25
The chart of Calmar ratio for QMOM, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.682.56
The chart of Martin ratio for QMOM, currently valued at 17.42, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.426.72
QMOM
AVUV

The current QMOM Sharpe Ratio is 2.48, which is higher than the AVUV Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of QMOM and AVUV, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.48
1.33
QMOM
AVUV

Dividends

QMOM vs. AVUV - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 0.63%, less than AVUV's 1.55% yield.


TTM202320222021202020192018201720162015
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.63%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%
AVUV
Avantis U.S. Small Cap Value ETF
1.55%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%

Drawdowns

QMOM vs. AVUV - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, smaller than the maximum AVUV drawdown of -49.42%. Use the drawdown chart below to compare losses from any high point for QMOM and AVUV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.54%
-3.75%
QMOM
AVUV

Volatility

QMOM vs. AVUV - Volatility Comparison

The current volatility for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) is 6.16%, while Avantis U.S. Small Cap Value ETF (AVUV) has a volatility of 8.44%. This indicates that QMOM experiences smaller price fluctuations and is considered to be less risky than AVUV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.16%
8.44%
QMOM
AVUV