QMOM vs. QQQ
Compare and contrast key facts about Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Invesco QQQ (QQQ).
QMOM and QQQ 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. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999. Both QMOM and QQQ 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 QQQ.
Key characteristics
| QMOM | QQQ | |
|---|---|---|
| YTD Return | 28.67% | 19.19% |
| 1Y Return | 47.02% | 33.08% |
| 3Y Return (Ann) | 5.91% | 7.58% |
| 5Y Return (Ann) | 16.72% | 20.31% |
| Sharpe Ratio | 2.49 | 2.01 |
| Sortino Ratio | 3.30 | 2.66 |
| Omega Ratio | 1.41 | 1.36 |
| Calmar Ratio | 1.49 | 2.56 |
| Martin Ratio | 17.67 | 9.32 |
| Ulcer Index | 2.83% | 3.72% |
| Daily Std Dev | 20.05% | 17.23% |
| Max Drawdown | -39.13% | -82.98% |
| Current Drawdown | -3.72% | -3.23% |
Correlation
The correlation between QMOM and QQQ is 0.66, 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. QQQ - Performance Comparison
In the year-to-date period, QMOM achieves a 28.67% return, which is significantly higher than QQQ's 19.19% return. 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. QQQ - Expense Ratio Comparison
QMOM has a 0.49% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Risk-Adjusted Performance
QMOM vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Invesco QQQ (QQQ). 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. QQQ - Dividend Comparison
QMOM's dividend yield for the trailing twelve months is around 0.68%, more than QQQ's 0.62% 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% |
QQQ Invesco QQQ | 0.62% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.01% |
Drawdowns
QMOM vs. QQQ - Drawdown Comparison
The maximum QMOM drawdown since its inception was -39.13%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for QMOM and QQQ. For additional features, visit the drawdowns tool.
Volatility
QMOM vs. QQQ - Volatility Comparison
The current volatility for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) is 4.22%, while Invesco QQQ (QQQ) has a volatility of 4.47%. This indicates that QMOM experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.