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

Correlation

The correlation between QMOM and MTUM is 0.69, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

QMOM vs. MTUM - Performance Comparison

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

120.00%140.00%160.00%180.00%200.00%220.00%240.00%NovemberDecember2025FebruaryMarchApril
146.46%
213.47%
QMOM
MTUM

Key characteristics

Sharpe Ratio

QMOM:

0.17

MTUM:

0.66

Sortino Ratio

QMOM:

0.41

MTUM:

1.05

Omega Ratio

QMOM:

1.05

MTUM:

1.15

Calmar Ratio

QMOM:

0.17

MTUM:

0.79

Martin Ratio

QMOM:

0.52

MTUM:

2.79

Ulcer Index

QMOM:

8.59%

MTUM:

5.94%

Daily Std Dev

QMOM:

26.68%

MTUM:

24.99%

Max Drawdown

QMOM:

-39.13%

MTUM:

-34.08%

Current Drawdown

QMOM:

-17.30%

MTUM:

-9.65%

Returns By Period

In the year-to-date period, QMOM achieves a -8.62% return, which is significantly lower than MTUM's 0.20% return.


QMOM

YTD

-8.62%

1M

-2.22%

6M

-7.02%

1Y

5.30%

5Y*

15.88%

10Y*

N/A

MTUM

YTD

0.20%

1M

-0.11%

6M

1.12%

1Y

17.63%

5Y*

13.31%

10Y*

12.67%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QMOM vs. MTUM - Expense Ratio Comparison

QMOM has a 0.49% expense ratio, which is higher than MTUM's 0.15% expense ratio.


Expense ratio chart for QMOM: current value is 0.49%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QMOM: 0.49%
Expense ratio chart for MTUM: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MTUM: 0.15%

Risk-Adjusted Performance

QMOM vs. MTUM — 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 3232
Overall Rank
The Sharpe Ratio Rank of QMOM is 3131
Sharpe Ratio Rank
The Sortino Ratio Rank of QMOM is 3333
Sortino Ratio Rank
The Omega Ratio Rank of QMOM is 3131
Omega Ratio Rank
The Calmar Ratio Rank of QMOM is 3434
Calmar Ratio Rank
The Martin Ratio Rank of QMOM is 3030
Martin Ratio Rank

MTUM
The Risk-Adjusted Performance Rank of MTUM is 6969
Overall Rank
The Sharpe Ratio Rank of MTUM is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 6767
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 6767
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 7676
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 7070
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. MTUM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). 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 chart of Sharpe ratio for QMOM, currently valued at 0.17, compared to the broader market-1.000.001.002.003.004.00
QMOM: 0.17
MTUM: 0.66
The chart of Sortino ratio for QMOM, currently valued at 0.41, compared to the broader market-2.000.002.004.006.008.00
QMOM: 0.41
MTUM: 1.05
The chart of Omega ratio for QMOM, currently valued at 1.05, compared to the broader market0.501.001.502.002.50
QMOM: 1.05
MTUM: 1.15
The chart of Calmar ratio for QMOM, currently valued at 0.17, compared to the broader market0.002.004.006.008.0010.0012.00
QMOM: 0.17
MTUM: 0.79
The chart of Martin ratio for QMOM, currently valued at 0.52, compared to the broader market0.0020.0040.0060.00
QMOM: 0.52
MTUM: 2.79

The current QMOM Sharpe Ratio is 0.17, which is lower than the MTUM Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of QMOM and MTUM, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.17
0.66
QMOM
MTUM

Dividends

QMOM vs. MTUM - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 1.54%, more than MTUM's 0.93% yield.


TTM20242023202220212020201920182017201620152014
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
1.54%1.40%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%0.00%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.93%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%

Drawdowns

QMOM vs. MTUM - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for QMOM and MTUM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-17.30%
-9.65%
QMOM
MTUM

Volatility

QMOM vs. MTUM - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM) have volatilities of 15.70% and 15.89%, 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.


5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
15.70%
15.89%
QMOM
MTUM