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

Correlation

The correlation between QMOM and JMOM 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

QMOM vs. JMOM - Performance Comparison

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

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Key characteristics

Sharpe Ratio

QMOM:

0.12

JMOM:

0.72

Sortino Ratio

QMOM:

0.31

JMOM:

1.08

Omega Ratio

QMOM:

1.04

JMOM:

1.15

Calmar Ratio

QMOM:

0.09

JMOM:

0.75

Martin Ratio

QMOM:

0.26

JMOM:

2.78

Ulcer Index

QMOM:

9.51%

JMOM:

5.25%

Daily Std Dev

QMOM:

26.55%

JMOM:

21.37%

Max Drawdown

QMOM:

-39.13%

JMOM:

-34.31%

Current Drawdown

QMOM:

-14.62%

JMOM:

-3.87%

Returns By Period

In the year-to-date period, QMOM achieves a -5.66% return, which is significantly lower than JMOM's 3.27% return.


QMOM

YTD

-5.66%

1M

8.04%

6M

-12.81%

1Y

3.10%

3Y*

10.71%

5Y*

13.53%

10Y*

N/A

JMOM

YTD

3.27%

1M

11.35%

6M

-0.39%

1Y

15.25%

3Y*

17.85%

5Y*

16.52%

10Y*

N/A

*Annualized

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QMOM vs. JMOM - Expense Ratio Comparison

QMOM has a 0.49% expense ratio, which is higher than JMOM's 0.12% expense ratio.


Risk-Adjusted Performance

QMOM vs. JMOM — Risk-Adjusted Performance Rank

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

QMOM
The Risk-Adjusted Performance Rank of QMOM is 2424
Overall Rank
The Sharpe Ratio Rank of QMOM is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of QMOM is 2424
Sortino Ratio Rank
The Omega Ratio Rank of QMOM is 2323
Omega Ratio Rank
The Calmar Ratio Rank of QMOM is 2424
Calmar Ratio Rank
The Martin Ratio Rank of QMOM is 2222
Martin Ratio Rank

JMOM
The Risk-Adjusted Performance Rank of JMOM is 7171
Overall Rank
The Sharpe Ratio Rank of JMOM is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of JMOM is 6969
Sortino Ratio Rank
The Omega Ratio Rank of JMOM is 7070
Omega Ratio Rank
The Calmar Ratio Rank of JMOM is 7474
Calmar Ratio Rank
The Martin Ratio Rank of JMOM is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

QMOM vs. JMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) 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.


The current QMOM Sharpe Ratio is 0.12, which is lower than the JMOM Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of QMOM and JMOM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

QMOM vs. JMOM - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 1.49%, more than JMOM's 0.84% yield.


TTM2024202320222021202020192018201720162015
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
1.49%1.40%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%
JMOM
JPMorgan U.S. Momentum Factor ETF
0.84%0.75%1.21%1.38%0.64%0.85%1.11%1.38%0.30%0.00%0.00%

Drawdowns

QMOM vs. JMOM - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, which is greater than JMOM's maximum drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for QMOM and JMOM. For additional features, visit the drawdowns tool.


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Volatility

QMOM vs. JMOM - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and JPMorgan U.S. Momentum Factor ETF (JMOM) have volatilities of 4.56% and 4.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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