SPMO vs. JMOM
Compare and contrast key facts about Invesco S&P 500® Momentum ETF (SPMO) and JPMorgan U.S. Momentum Factor ETF (JMOM).
SPMO and JMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPMO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Momentum Index. It was launched on Oct 9, 2015. JMOM is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Momentum Factor Index. It was launched on Nov 8, 2017. Both SPMO and JMOM 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: SPMO or JMOM.
Performance
SPMO vs. JMOM - Performance Comparison
Returns By Period
In the year-to-date period, SPMO achieves a 43.82% return, which is significantly higher than JMOM's 29.85% return.
SPMO
43.82%
0.25%
16.47%
53.99%
19.76%
N/A
JMOM
29.85%
0.56%
12.57%
38.51%
16.01%
N/A
Key characteristics
| SPMO | JMOM | |
|---|---|---|
| Sharpe Ratio | 3.03 | 2.79 |
| Sortino Ratio | 3.96 | 3.81 |
| Omega Ratio | 1.54 | 1.50 |
| Calmar Ratio | 4.09 | 3.58 |
| Martin Ratio | 17.02 | 18.56 |
| Ulcer Index | 3.17% | 2.09% |
| Daily Std Dev | 17.76% | 13.88% |
| Max Drawdown | -30.95% | -34.31% |
| Current Drawdown | -3.09% | -3.15% |
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SPMO vs. JMOM - Expense Ratio Comparison
SPMO has a 0.13% expense ratio, which is higher than JMOM's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between SPMO and JMOM is 0.83, 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.
Risk-Adjusted Performance
SPMO vs. JMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Momentum ETF (SPMO) and JPMorgan U.S. Momentum Factor ETF (JMOM). 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
SPMO vs. JMOM - Dividend Comparison
SPMO's dividend yield for the trailing twelve months is around 0.46%, less than JMOM's 0.75% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPMO Invesco S&P 500® Momentum ETF | 0.46% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
JMOM JPMorgan U.S. Momentum Factor ETF | 0.75% | 1.21% | 1.38% | 0.64% | 0.85% | 1.11% | 1.38% | 0.30% | 0.00% | 0.00% |
Drawdowns
SPMO vs. JMOM - Drawdown Comparison
The maximum SPMO drawdown since its inception was -30.95%, smaller than the maximum JMOM drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for SPMO and JMOM. For additional features, visit the drawdowns tool.
Volatility
SPMO vs. JMOM - Volatility Comparison
Invesco S&P 500® Momentum ETF (SPMO) has a higher volatility of 5.09% compared to JPMorgan U.S. Momentum Factor ETF (JMOM) at 4.67%. This indicates that SPMO's price experiences larger fluctuations and is considered to be riskier than JMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.