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VFLO vs. QMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VFLO vs. QMOM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Victoryshares Free Cash Flow ETF (VFLO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.55%
17.08%
VFLO
QMOM

Returns By Period

In the year-to-date period, VFLO achieves a 30.21% return, which is significantly lower than QMOM's 42.31% return.


VFLO

YTD

30.21%

1M

10.81%

6M

17.55%

1Y

38.63%

5Y (annualized)

N/A

10Y (annualized)

N/A

QMOM

YTD

42.31%

1M

10.14%

6M

17.08%

1Y

53.68%

5Y (annualized)

17.79%

10Y (annualized)

N/A

Key characteristics


VFLOQMOM
Sharpe Ratio3.002.65
Sortino Ratio4.273.45
Omega Ratio1.521.43
Calmar Ratio6.021.80
Martin Ratio15.7018.66
Ulcer Index2.46%2.88%
Daily Std Dev12.87%20.28%
Max Drawdown-8.36%-39.13%
Current Drawdown0.00%0.00%

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VFLO vs. QMOM - Expense Ratio Comparison

VFLO has a 0.39% expense ratio, which is lower than QMOM's 0.49% expense ratio.


QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for VFLO: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Correlation

-0.50.00.51.00.7

The correlation between VFLO and QMOM is 0.68, 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

VFLO vs. QMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Victoryshares Free Cash Flow ETF (VFLO) 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.


Sharpe ratio
The chart of Sharpe ratio for VFLO, currently valued at 3.00, compared to the broader market0.002.004.003.002.65
The chart of Sortino ratio for VFLO, currently valued at 4.27, compared to the broader market-2.000.002.004.006.008.0010.0012.004.273.45
The chart of Omega ratio for VFLO, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.43
The chart of Calmar ratio for VFLO, currently valued at 6.02, compared to the broader market0.005.0010.0015.006.025.55
The chart of Martin ratio for VFLO, currently valued at 15.70, compared to the broader market0.0020.0040.0060.0080.00100.0015.7018.66
VFLO
QMOM

The current VFLO Sharpe Ratio is 3.00, which is comparable to the QMOM Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of VFLO and QMOM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovember
3.00
2.65
VFLO
QMOM

Dividends

VFLO vs. QMOM - Dividend Comparison

VFLO's dividend yield for the trailing twelve months is around 1.04%, more than QMOM's 0.61% yield.


TTM202320222021202020192018201720162015
VFLO
Victoryshares Free Cash Flow ETF
1.04%0.71%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.61%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%

Drawdowns

VFLO vs. QMOM - Drawdown Comparison

The maximum VFLO drawdown since its inception was -8.36%, smaller than the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for VFLO and QMOM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VFLO
QMOM

Volatility

VFLO vs. QMOM - Volatility Comparison

The current volatility for Victoryshares Free Cash Flow ETF (VFLO) is 4.31%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 5.94%. This indicates that VFLO 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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.31%
5.94%
VFLO
QMOM