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

Key characteristics


QMOMNUSI
YTD Return28.67%20.45%
1Y Return47.02%32.70%
3Y Return (Ann)5.91%3.55%
Sharpe Ratio2.492.83
Sortino Ratio3.304.08
Omega Ratio1.411.56
Calmar Ratio1.491.96
Martin Ratio17.6715.78
Ulcer Index2.83%2.17%
Daily Std Dev20.05%12.06%
Max Drawdown-39.13%-31.24%
Current Drawdown-3.72%-1.96%

Correlation

-0.50.00.51.00.6

The correlation between QMOM and NUSI is 0.62, 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.

Performance

QMOM vs. NUSI - Performance Comparison

In the year-to-date period, QMOM achieves a 28.67% return, which is significantly higher than NUSI's 20.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.11%
12.10%
QMOM
NUSI

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. NUSI - Expense Ratio Comparison

QMOM has a 0.49% expense ratio, which is lower than NUSI's 0.68% expense ratio.


NUSI
Nationwide Risk-Managed Income ETF
Expense ratio chart for NUSI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
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%

Risk-Adjusted Performance

QMOM vs. NUSI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Nationwide Risk-Managed Income ETF (NUSI). 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.


QMOM
Sharpe ratio
The chart of Sharpe ratio for QMOM, currently valued at 2.49, compared to the broader market0.002.004.006.002.49
Sortino ratio
The chart of Sortino ratio for QMOM, currently valued at 3.30, compared to the broader market0.005.0010.003.30
Omega ratio
The chart of Omega ratio for QMOM, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for QMOM, currently valued at 1.49, compared to the broader market0.005.0010.0015.0020.001.49
Martin ratio
The chart of Martin ratio for QMOM, currently valued at 17.67, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.67
NUSI
Sharpe ratio
The chart of Sharpe ratio for NUSI, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for NUSI, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for NUSI, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for NUSI, currently valued at 1.96, compared to the broader market0.005.0010.0015.0020.001.96
Martin ratio
The chart of Martin ratio for NUSI, currently valued at 15.78, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.78

QMOM vs. NUSI - Sharpe Ratio Comparison

The current QMOM Sharpe Ratio is 2.49, which is comparable to the NUSI Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of QMOM and NUSI, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.49
2.83
QMOM
NUSI

Dividends

QMOM vs. NUSI - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 0.68%, less than NUSI's 7.41% yield.


TTM202320222021202020192018201720162015
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%
NUSI
Nationwide Risk-Managed Income ETF
7.41%7.18%9.05%7.77%7.48%0.65%0.00%0.00%0.00%0.00%

Drawdowns

QMOM vs. NUSI - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, which is greater than NUSI's maximum drawdown of -31.24%. Use the drawdown chart below to compare losses from any high point for QMOM and NUSI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.72%
-1.96%
QMOM
NUSI

Volatility

QMOM vs. NUSI - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 4.22% compared to Nationwide Risk-Managed Income ETF (NUSI) at 3.26%. This indicates that QMOM's price experiences larger fluctuations and is considered to be riskier than NUSI 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
4.22%
3.26%
QMOM
NUSI