QMOM vs. VTI
Compare and contrast key facts about Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Vanguard Total Stock Market ETF (VTI).
QMOM and VTI 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. VTI is a passively managed fund by Vanguard that tracks the performance of the CRSP US Total Market Index. It was launched on May 24, 2001. Both QMOM and VTI 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 VTI.
Key characteristics
| QMOM | VTI | |
|---|---|---|
| YTD Return | 28.67% | 19.97% |
| 1Y Return | 47.02% | 32.68% |
| 3Y Return (Ann) | 5.91% | 6.79% |
| 5Y Return (Ann) | 16.72% | 14.34% |
| Sharpe Ratio | 2.49 | 2.76 |
| Sortino Ratio | 3.30 | 3.67 |
| Omega Ratio | 1.41 | 1.51 |
| Calmar Ratio | 1.49 | 3.66 |
| Martin Ratio | 17.67 | 17.63 |
| Ulcer Index | 2.83% | 1.94% |
| Daily Std Dev | 20.05% | 12.35% |
| Max Drawdown | -39.13% | -55.45% |
| Current Drawdown | -3.72% | -2.48% |
Correlation
The correlation between QMOM and VTI is 0.71, 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. VTI - Performance Comparison
In the year-to-date period, QMOM achieves a 28.67% return, which is significantly higher than VTI's 19.97% 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. VTI - Expense Ratio Comparison
QMOM has a 0.49% expense ratio, which is higher than VTI's 0.03% expense ratio.
Risk-Adjusted Performance
QMOM vs. VTI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) and Vanguard Total Stock Market ETF (VTI). 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. VTI - Dividend Comparison
QMOM's dividend yield for the trailing twelve months is around 0.68%, less than VTI's 1.33% 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% |
VTI Vanguard Total Stock Market ETF | 1.33% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
Drawdowns
QMOM vs. VTI - Drawdown Comparison
The maximum QMOM drawdown since its inception was -39.13%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for QMOM and VTI. For additional features, visit the drawdowns tool.
Volatility
QMOM vs. VTI - Volatility Comparison
Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 4.22% compared to Vanguard Total Stock Market ETF (VTI) at 3.10%. This indicates that QMOM's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.