QMOM vs. MTUM
Compare and contrast key facts about Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
QMOM and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QMOM is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Quantity Momentum (USD)(TR). It was launched on Dec 2, 2015. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. Both QMOM and MTUM 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: QMOM or MTUM.
Key characteristics
| QMOM | MTUM | |
|---|---|---|
| YTD Return | 28.67% | 28.84% |
| 1Y Return | 47.02% | 40.94% |
| 3Y Return (Ann) | 5.91% | 2.83% |
| 5Y Return (Ann) | 16.72% | 12.33% |
| Sharpe Ratio | 2.49 | 2.32 |
| Sortino Ratio | 3.30 | 3.11 |
| Omega Ratio | 1.41 | 1.41 |
| Calmar Ratio | 1.49 | 1.83 |
| Martin Ratio | 17.67 | 13.42 |
| Ulcer Index | 2.83% | 3.17% |
| Daily Std Dev | 20.05% | 18.33% |
| Max Drawdown | -39.13% | -34.08% |
| Current Drawdown | -3.72% | -3.83% |
Correlation
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.
Performance
QMOM vs. MTUM - Performance Comparison
The year-to-date returns for both investments are quite close, with QMOM having a 28.67% return and MTUM slightly higher at 28.84%. 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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QMOM vs. MTUM - Expense Ratio Comparison
QMOM has a 0.49% expense ratio, which is higher than MTUM's 0.15% expense ratio.
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.
Dividends
QMOM vs. MTUM - Dividend Comparison
QMOM's dividend yield for the trailing twelve months is around 0.68%, more than MTUM's 0.58% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.68% | 0.87% | 1.59% | 0.12% | 0.08% | 0.01% | 0.05% | 0.13% | 0.34% | 0.01% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.58% | 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.
Volatility
QMOM vs. MTUM - Volatility Comparison
Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 4.22% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 3.11%. 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.