VFLO vs. QMOM
Compare and contrast key facts about Victoryshares Free Cash Flow ETF (VFLO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
VFLO and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFLO is a passively managed fund by VictoryShares that tracks the performance of the Victory U.S. Large Cap Free Cash Flow Index. It was launched on Jun 21, 2023. 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 VFLO 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: VFLO or QMOM.
Key characteristics
| VFLO | QMOM | |
|---|---|---|
| YTD Return | 27.32% | 39.76% |
| 1Y Return | 39.22% | 56.96% |
| Sharpe Ratio | 3.08 | 2.78 |
| Sortino Ratio | 4.38 | 3.64 |
| Omega Ratio | 1.54 | 1.46 |
| Calmar Ratio | 6.16 | 1.78 |
| Martin Ratio | 16.17 | 20.13 |
| Ulcer Index | 2.45% | 2.84% |
| Daily Std Dev | 12.85% | 20.52% |
| Max Drawdown | -8.36% | -39.13% |
| Current Drawdown | -1.08% | -1.64% |
Correlation
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.
Performance
VFLO vs. QMOM - Performance Comparison
In the year-to-date period, VFLO achieves a 27.32% return, which is significantly lower than QMOM's 39.76% 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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VFLO vs. QMOM - Expense Ratio Comparison
VFLO has a 0.39% expense ratio, which is lower than QMOM's 0.49% expense ratio.
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.
Dividends
VFLO vs. QMOM - Dividend Comparison
VFLO's dividend yield for the trailing twelve months is around 1.06%, more than QMOM's 0.63% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
VFLO Victoryshares Free Cash Flow ETF | 1.06% | 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 | 0.63% | 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.
Volatility
VFLO vs. QMOM - Volatility Comparison
The current volatility for Victoryshares Free Cash Flow ETF (VFLO) is 4.78%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 5.89%. 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.