PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QMOM vs. MTUM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.90%
12.50%
QMOM
MTUM

Returns By Period

In the year-to-date period, QMOM achieves a 38.72% return, which is significantly higher than MTUM's 35.43% return.


QMOM

YTD

38.72%

1M

5.51%

6M

16.24%

1Y

49.84%

5Y (annualized)

17.21%

10Y (annualized)

N/A

MTUM

YTD

35.43%

1M

1.39%

6M

12.47%

1Y

41.04%

5Y (annualized)

12.96%

10Y (annualized)

13.45%

Key characteristics


QMOMMTUM
Sharpe Ratio2.482.20
Sortino Ratio3.262.98
Omega Ratio1.411.39
Calmar Ratio1.681.90
Martin Ratio17.4012.74
Ulcer Index2.88%3.18%
Daily Std Dev20.21%18.44%
Max Drawdown-39.13%-34.08%
Current Drawdown-2.37%-1.05%

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.


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 MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.8

The correlation between QMOM and MTUM is 0.78, 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.

Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for QMOM, currently valued at 2.48, compared to the broader market0.002.004.002.482.20
The chart of Sortino ratio for QMOM, currently valued at 3.26, compared to the broader market-2.000.002.004.006.008.0010.0012.003.262.98
The chart of Omega ratio for QMOM, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.39
The chart of Calmar ratio for QMOM, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.681.90
The chart of Martin ratio for QMOM, currently valued at 17.40, compared to the broader market0.0020.0040.0060.0080.00100.0017.4012.74
QMOM
MTUM

The current QMOM Sharpe Ratio is 2.48, which is comparable to the MTUM Sharpe Ratio of 2.20. 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.48
2.20
QMOM
MTUM

Dividends

QMOM vs. MTUM - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 0.63%, more than MTUM's 0.55% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.55%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%1.02%

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.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.37%
-1.05%
QMOM
MTUM

Volatility

QMOM vs. MTUM - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 5.92% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 4.14%. This indicates that QMOM's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.92%
4.14%
QMOM
MTUM