ROMO vs. SPY
ROMO (Strategy Shares Newfound/ReSolve Robust Momentum ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - ROMO is a Momentum fund tracking the Newfound/ReSolve Robust Equity Momentum Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, ROMO returned 6.88%/yr vs 13.51%/yr for SPY. Their correlation of 0.83 suggests significant overlap in exposure. ROMO charges 0.82%/yr vs 0.09%/yr for SPY.
Performance
ROMO vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ROMO achieves a 6.18% return, which is significantly lower than SPY's 9.74% return.
ROMO
- 1D
- -0.27%
- 1M
- 0.64%
- YTD
- 6.18%
- 6M
- 6.21%
- 1Y
- 18.57%
- 3Y*
- 14.40%
- 5Y*
- 6.88%
- 10Y*
- —
SPY
- 1D
- -0.31%
- 1M
- 0.09%
- YTD
- 9.74%
- 6M
- 9.27%
- 1Y
- 26.65%
- 3Y*
- 21.27%
- 5Y*
- 13.51%
- 10Y*
- 15.70%
ROMO vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ROMO Strategy Shares Newfound/ReSolve Robust Momentum ETF | 6.18% | 9.29% | 20.68% | 11.05% | -18.88% | 21.41% | -3.48% | 4.25% |
SPY State Street SPDR S&P 500 ETF | 9.74% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 5.65% |
Correlation
The correlation between ROMO and SPY is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.85 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2019 | 0.83 |
The correlation between ROMO and SPY has been stable across timeframes, ranging from 0.82 to 0.90 - a consistent structural relationship.
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Return for Risk
ROMO vs. SPY — Risk / Return Rank
ROMO
SPY
ROMO vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ROMO | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.83 | ||
| Sortino ratioReturn per unit of downside risk | -1.02 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.39 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 1.67 | 3.01 | -1.34 |
| Martin ratioReturn relative to average drawdown | 5.95 | 13.54 | -7.59 |
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Drawdowns
ROMO vs. SPY - Drawdown Comparison
The maximum ROMO drawdown since its inception was -28.66%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ROMO and SPY.
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Drawdown Indicators
| ROMO | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.66% | -55.19% | +26.53% |
Max Drawdown (1Y)Largest decline over 1 year | -11.16% | -8.88% | -2.28% |
Max Drawdown (3Y)Largest decline over 3 years | -14.09% | -18.76% | +4.67% |
Max Drawdown (5Y)Largest decline over 5 years | -20.26% | -24.50% | +4.24% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -1.76% | -1.75% | -0.01% |
Average DrawdownAverage peak-to-trough decline | -8.26% | -9.04% | +0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 1.97% | +1.16% |
Volatility
ROMO vs. SPY - Volatility Comparison
The current volatility for Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) is 4.34%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that ROMO experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ROMO | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 4.64% | -0.30% |
Volatility (6M)Calculated over the trailing 6-month period | 11.71% | 9.75% | +1.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.04% | 12.43% | +1.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.14% | 17.14% | -5.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.48% | 17.99% | -3.51% |
ROMO vs. SPY - Expense Ratio Comparison
ROMO has a 0.82% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
ROMO vs. SPY - Dividend Comparison
ROMO's dividend yield for the trailing twelve months is around 8.36%, more than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ROMO Strategy Shares Newfound/ReSolve Robust Momentum ETF | 8.36% | 8.87% | 0.76% | 2.42% | 0.77% | 0.56% | 0.97% | 0.58% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.01% | 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
ROMO and SPY have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.64%) compared to ROMO (4.34%). In terms of maximum drawdown, ROMO dropped -28.66% vs SPY's -55.19%.
On 5-year performance, SPY leads with 13.51% vs 6.88% for ROMO. On fees, SPY is cheaper at 0.09% per year. On volatility, ROMO has been the lower-risk option at 4.34%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPY has performed better with a 13.51% return vs 6.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.82% for ROMO.
ROMO has the higher dividend yield at 8.36%, compared with 1.01% for SPY.
ROMO is categorized as Momentum, while SPY is S&P 500. ROMO tracks Newfound/ReSolve Robust Equity Momentum Index, while SPY tracks S&P 500 Index. They also come from different issuers: Rational Capital LLC and State Street. Their fees differ too: 0.82% for ROMO and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (2.16 vs 1.33), 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.
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