QMOM vs. SPY

Last updated Jun 4, 2026

QMOM (Alpha Architect U.S. Quantitative Momentum ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - QMOM is a Momentum fund actively managed by Alpha Architect, while SPY is a S&P 500 fund tracking the S&P 500 Index. QMOM is actively managed, while SPY is passively managed. Over the past 10 years, QMOM returned 13.82%/yr vs 15.49%/yr for SPY. A 0.69 correlation means they provide meaningful diversification when combined. QMOM charges 0.28%/yr vs 0.09%/yr for SPY.

Performance

QMOM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMOM achieves a 24.65% return, which is significantly higher than SPY's 10.91% return. Over the past 10 years, QMOM has underperformed SPY with an annualized return of 13.82%, while SPY has yielded a comparatively higher 15.49% annualized return.

QMOM

• 1D: -0.37%
• 1M: 6.10%
• YTD: 24.65%
• 6M: 26.71%
• 1Y: 31.51%
• 3Y*: 23.22%
• 5Y*: 11.55%
• 10Y*: 13.82%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QMOM vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMOM Alpha Architect U.S. Quantitative Momentum ETF	24.65%	2.36%	30.43%	9.50%	-6.99%	-4.06%	61.94%	28.39%	-11.75%	15.92%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between QMOM and SPY is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.70
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016	0.69

The correlation between QMOM and SPY has been stable across timeframes, ranging from 0.69 to 0.76 - a consistent structural relationship.

QMOM vs. SPY - Sectors Allocation Comparison

Sectors	QMOM	SPY
Industrials	37.5%	7.8%
Technology	23.9%	35.9%
Basic Materials	9.0%	1.8%
Healthcare	8.9%	8.4%
Consumer Cyclical	7.4%	10.3%
Energy	5.5%	3.6%
Communication Services	4.2%	11.3%
Utilities	2.0%	2.4%
Financial Services	1.9%	11.8%
Consumer Defensive	1.6%	4.8%
Real Estate	-	1.9%

Return for Risk

QMOM vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QMOM

QMOM Risk / Return Rank: 42
QMOM Sharpe Ratio Rank: 37
QMOM Sortino Ratio Rank: 36
QMOM Omega Ratio Rank: 37
QMOM Calmar Ratio Rank: 50
QMOM Martin Ratio Rank: 53

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QMOM vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.36	2.38	-1.02
Sortino ratio: Return per unit of downside risk	1.91	3.24	-1.33
Omega ratio: Gain probability vs. loss probability	1.25	1.43	-0.18
Calmar ratio: Return relative to maximum drawdown	2.50	3.16	-0.66
Martin ratio: Return relative to average drawdown	9.15	14.72	-5.57
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMOM vs. SPY - Sharpe Ratio Comparison

The current QMOM Sharpe Ratio is 1.36, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of QMOM and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QMOM	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.36	2.38	-1.02
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.82	-0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	0.87	-0.34
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.59	-0.07

Drawdowns

QMOM vs. SPY - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QMOM and SPY.

Drawdown Indicators

	QMOM	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-39.13%	-55.19%	+16.06%
Max Drawdown (1Y) Largest decline over 1 year	-12.65%	-8.88%	-3.77%
Max Drawdown (3Y) Largest decline over 3 years	-26.46%	-18.76%	-7.70%
Max Drawdown (5Y) Largest decline over 5 years	-26.82%	-24.50%	-2.32%
Max Drawdown (10Y) Largest decline over 10 years	-39.13%	-33.72%	-5.41%
Current Drawdown Current decline from peak	-0.37%	-0.70%	+0.33%
Average Drawdown Average peak-to-trough decline	-12.92%	-9.05%	-3.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.45%	1.91%	+1.54%

Volatility

QMOM vs. SPY - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 8.32% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. This indicates that QMOM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMOM	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.32%	2.84%	+5.48%
Volatility (6M) Calculated over the trailing 6-month period	19.78%	8.90%	+10.88%
Volatility (1Y) Calculated over the trailing 1-year period	23.30%	11.83%	+11.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.19%	17.05%	+7.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.49%	17.94%	+8.55%

QMOM vs. SPY - Expense Ratio Comparison

QMOM has a 0.28% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

QMOM vs. SPY - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 0.44%, less than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMOM Alpha Architect U.S. Quantitative Momentum ETF	0.44%	0.54%	1.40%	0.87%	1.59%	0.12%	0.08%	0.01%	0.05%	0.13%	0.34%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both QMOM and SPY in my portfolio?

QMOM and SPY have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMOM or SPY?

QMOM has higher volatility (8.32%) compared to SPY (2.84%). In terms of maximum drawdown, QMOM dropped -39.13% vs SPY's -55.19%.

Which ETF is better, QMOM or SPY?

On 10-year performance, SPY leads with 15.49% vs 13.82% for QMOM. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QMOM or SPY?

Over the 10-year period, SPY has performed better with a 15.49% return vs 13.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QMOM or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.28% for QMOM.

Which ETF pays a higher dividend yield, QMOM or SPY?

SPY has the higher dividend yield at 0.98%, compared with 0.44% for QMOM.

What is the main difference between QMOM and SPY?

QMOM is categorized as Momentum, while SPY is S&P 500. They also come from different issuers: Alpha Architect and State Street. Their fees differ too: 0.28% for QMOM and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 1.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.