VFMO vs. MMTM
Compare and contrast key facts about Vanguard U.S. Momentum Factor ETF (VFMO) and SPDR S&P 1500 Momentum Tilt ETF (MMTM).
VFMO and MMTM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFMO is managed by Vanguard. It was launched on Feb 13, 2018. MMTM is a passively managed fund by State Street that tracks the performance of the S&P 1500 Positive Momentum Tilt Index. It was launched on Oct 24, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFMO or MMTM.
Performance
VFMO vs. MMTM - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with VFMO having a 32.00% return and MMTM slightly lower at 30.69%.
VFMO
32.00%
4.33%
15.15%
46.40%
16.85%
N/A
MMTM
30.69%
1.37%
13.67%
37.01%
16.06%
15.18%
Key characteristics
| VFMO | MMTM | |
|---|---|---|
| Sharpe Ratio | 2.39 | 2.34 |
| Sortino Ratio | 3.16 | 3.16 |
| Omega Ratio | 1.40 | 1.43 |
| Calmar Ratio | 3.17 | 3.33 |
| Martin Ratio | 14.76 | 14.50 |
| Ulcer Index | 3.08% | 2.52% |
| Daily Std Dev | 18.98% | 15.63% |
| Max Drawdown | -36.77% | -33.85% |
| Current Drawdown | -2.49% | -1.55% |
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VFMO vs. MMTM - Expense Ratio Comparison
VFMO has a 0.13% expense ratio, which is higher than MMTM'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 VFMO and MMTM is 0.87, 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
VFMO vs. MMTM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) and SPDR S&P 1500 Momentum Tilt ETF (MMTM). 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
VFMO vs. MMTM - Dividend Comparison
VFMO's dividend yield for the trailing twelve months is around 0.65%, less than MMTM's 0.76% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VFMO Vanguard U.S. Momentum Factor ETF | 0.65% | 0.89% | 1.72% | 0.81% | 0.45% | 1.23% | 0.70% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.76% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.63% | 1.52% | 1.98% | 1.68% | 1.54% | 1.74% |
Drawdowns
VFMO vs. MMTM - Drawdown Comparison
The maximum VFMO drawdown since its inception was -36.77%, which is greater than MMTM's maximum drawdown of -33.85%. Use the drawdown chart below to compare losses from any high point for VFMO and MMTM. For additional features, visit the drawdowns tool.
Volatility
VFMO vs. MMTM - Volatility Comparison
Vanguard U.S. Momentum Factor ETF (VFMO) has a higher volatility of 5.78% compared to SPDR S&P 1500 Momentum Tilt ETF (MMTM) at 4.83%. This indicates that VFMO's price experiences larger fluctuations and is considered to be riskier than MMTM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.