SPMO vs. QMOM
Compare and contrast key facts about Invesco S&P 500® Momentum ETF (SPMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
SPMO and QMOM 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. 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. Both SPMO and QMOM 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 QMOM.
Performance
SPMO vs. QMOM - Performance Comparison
Returns By Period
In the year-to-date period, SPMO achieves a 43.82% return, which is significantly higher than QMOM's 35.73% return.
SPMO
43.82%
0.25%
16.47%
53.99%
19.76%
N/A
QMOM
35.73%
1.56%
14.11%
48.92%
16.87%
N/A
Key characteristics
| SPMO | QMOM | |
|---|---|---|
| Sharpe Ratio | 3.03 | 2.37 |
| Sortino Ratio | 3.96 | 3.14 |
| Omega Ratio | 1.54 | 1.39 |
| Calmar Ratio | 4.09 | 1.57 |
| Martin Ratio | 17.02 | 16.74 |
| Ulcer Index | 3.17% | 2.86% |
| Daily Std Dev | 17.76% | 20.22% |
| Max Drawdown | -30.95% | -39.13% |
| Current Drawdown | -3.09% | -4.47% |
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SPMO vs. QMOM - Expense Ratio Comparison
SPMO has a 0.13% expense ratio, which is lower than QMOM's 0.49% expense ratio.
Correlation
The correlation between SPMO and QMOM is 0.70, 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.
Risk-Adjusted Performance
SPMO vs. QMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Momentum ETF (SPMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). 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. QMOM - Dividend Comparison
SPMO's dividend yield for the trailing twelve months is around 0.46%, less than QMOM's 0.64% 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% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.64% | 0.87% | 1.59% | 0.13% | 0.08% | 0.01% | 0.05% | 0.13% | 0.33% | 0.01% |
Drawdowns
SPMO vs. QMOM - Drawdown Comparison
The maximum SPMO drawdown since its inception was -30.95%, smaller than the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for SPMO and QMOM. For additional features, visit the drawdowns tool.
Volatility
SPMO vs. QMOM - Volatility Comparison
The current volatility for Invesco S&P 500® Momentum ETF (SPMO) is 5.09%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 6.06%. This indicates that SPMO experiences smaller price fluctuations and is considered to be less risky than QMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.