VFMO vs. PDP

Last updated Aug 5, 2026

VFMO (Vanguard U.S. Momentum Factor ETF) and PDP (Invesco Dorsey Wright Momentum ETF) are both Momentum funds. VFMO is actively managed, while PDP is passively managed. Over the past 5 years, VFMO returned 13.53%/yr vs 8.71%/yr for PDP. Their correlation of 0.93 means they have usually moved in the same direction. VFMO charges 0.13%/yr vs 0.62%/yr for PDP.

Performance

VFMO vs. PDP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Momentum Factor ETF (VFMO) and Invesco Dorsey Wright Momentum ETF (PDP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VFMO achieves a 22.74% return, which is significantly higher than PDP's 20.13% return.

VFMO

• 1D: 3.23%
• 1M: -0.92%
• 6M: 13.59%
• YTD: 22.74%
• 1Y: 33.91%
• 3Y*: 25.40%
• 5Y*: 13.53%
• 10Y*: —
• ALL TIME*: 15.04%

PDP

• 1D: 3.31%
• 1M: -1.09%
• 6M: 12.30%
• YTD: 20.13%
• 1Y: 23.96%
• 3Y*: 21.12%
• 5Y*: 8.71%
• 10Y*: 12.80%
• ALL TIME*: 9.92%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
PDP Invesco Dorsey Wright Momentum ETF	$3.90M	$3.52M	$3.82M
VFMO Vanguard U.S. Momentum Factor ETF	$17.21M	$17.43M	$17.03M

VFMO vs. PDP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VFMO Vanguard U.S. Momentum Factor ETF	22.74%	17.39%	26.14%	16.25%	-12.84%	19.16%	31.36%	28.22%	-11.41%
PDP Invesco Dorsey Wright Momentum ETF	20.13%	8.37%	26.06%	20.88%	-24.49%	7.72%	36.59%	33.13%	-8.62%

Correlation

The correlation between VFMO and PDP is 0.94, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.94
Correlation (3Y) Balances recent behavior with more history.	0.94
Correlation (5Y) Shows whether the relationship held over a longer period.	0.93
Correlation (All Time) Calculated using the full available price history since Feb 15, 2018	0.93

The correlation between VFMO and PDP has been stable across timeframes, ranging from 0.93 to 0.94 - a consistent structural relationship.

VFMO vs. PDP - Sectors Allocation Comparison

Sectors	VFMO	PDP
Industrials	24.7%	25.3%
Healthcare	22.9%	8.4%
Technology	17.5%	42.9%
Consumer Cyclical	8.7%	2.5%
Energy	7.3%	4.9%
Financial Services	6.5%	6.0%
Basic Materials	6.4%	4.7%
Communication Services	3.4%	1.1%
Consumer Defensive	2.5%	1.3%
Utilities	0.2%	0.5%
Real Estate	0.1%	0.7%

Return for Risk

VFMO vs. PDP — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

VFMO

VFMO Risk / Return Rank: 55
VFMO Sharpe Ratio Rank: 50
VFMO Sortino Ratio Rank: 48
VFMO Omega Ratio Rank: 47
VFMO Calmar Ratio Rank: 62
VFMO Martin Ratio Rank: 66

PDP

PDP Risk / Return Rank: 36
PDP Sharpe Ratio Rank: 34
PDP Sortino Ratio Rank: 33
PDP Omega Ratio Rank: 33
PDP Calmar Ratio Rank: 36
PDP Martin Ratio Rank: 43

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

VFMO vs. PDP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) and Invesco Dorsey Wright Momentum ETF (PDP). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	VFMO	PDP	Difference
Sharpe ratio: Return per unit of total volatility	1.41	0.93	+0.49
Sortino ratio: Return per unit of downside risk	1.96	1.38	+0.58
Omega ratio: Gain probability vs. loss probability	1.25	1.17	+0.07
Calmar ratio: Return relative to maximum drawdown	2.44	1.37	+1.07
Martin ratio: Return relative to average drawdown	8.91	5.24	+3.67

VFMO vs. PDP - Sharpe Ratio Comparison

The current VFMO Sharpe Ratio is 1.41, which is higher than the PDP Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of VFMO and PDP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

VFMO vs. PDP - Drawdown Comparison

The maximum VFMO drawdown since its inception was -36.77%, smaller than the maximum PDP drawdown of -59.34%. Use the drawdown chart below to compare losses from any high point for VFMO and PDP.

Drawdown Indicators

	VFMO	PDP	Difference
Max Drawdown Largest peak-to-trough decline	-36.77%	-59.34%	+22.57%
Max Drawdown (1Y) Largest decline over 1 year	-13.97%	-17.58%	+3.61%
Max Drawdown (3Y) Largest decline over 3 years	-24.40%	-23.79%	-0.61%
Max Drawdown (5Y) Largest decline over 5 years	-25.80%	-33.91%	+8.11%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.70%	—
Current Drawdown Current decline from peak	-6.21%	-8.71%	+2.50%
Average Drawdown Average peak-to-trough decline	-7.71%	-10.57%	+2.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.82%	4.59%	-0.77%

Volatility

VFMO vs. PDP - Volatility Comparison

The current volatility for Vanguard U.S. Momentum Factor ETF (VFMO) is 9.25%, while Invesco Dorsey Wright Momentum ETF (PDP) has a volatility of 11.35%. This indicates that VFMO experiences smaller price fluctuations and is considered to be less risky than PDP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VFMO	PDP	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.25%	11.35%	-2.10%
Volatility (6M) Calculated over the trailing 6-month period	19.56%	21.29%	-1.73%
Volatility (1Y) Calculated over the trailing 1-year period	24.20%	26.00%	-1.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.17%	22.86%	-0.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.75%	22.05%	+1.70%

VFMO vs. PDP - Expense Ratio Comparison

VFMO has a 0.13% expense ratio, which is lower than PDP's 0.62% expense ratio.

Dividends

VFMO vs. PDP - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.60%, more than PDP's 0.08% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PDP Invesco Dorsey Wright Momentum ETF	0.08%	0.17%	0.15%	0.42%	0.45%	0.00%	0.11%	0.25%	0.18%	0.28%	0.81%	0.39%
VFMO Vanguard U.S. Momentum Factor ETF	0.60%	0.82%	0.72%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VFMO and PDP in my portfolio?

With a correlation of 0.94, VFMO and PDP move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, VFMO or PDP?

PDP has higher volatility (11.35%) compared to VFMO (9.25%). In terms of maximum drawdown, VFMO dropped -36.77% vs PDP's -59.34%.

Which ETF is better, VFMO or PDP?

On 5-year performance, VFMO leads with 13.53% vs 8.71% for PDP. On fees, VFMO is cheaper at 0.13% per year. On volatility, VFMO has been the lower-risk option at 9.25%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VFMO or PDP?

Over the 5-year period, VFMO has performed better with a 13.53% return vs 8.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VFMO or PDP?

VFMO is cheaper with a 0.13% expense ratio, compared with 0.62% for PDP.

Which ETF pays a higher dividend yield, VFMO or PDP?

VFMO has the higher dividend yield at 0.60%, compared with 0.08% for PDP.

What is the main difference between VFMO and PDP?

They also come from different issuers: Vanguard and Invesco. Their fees differ too: 0.13% for VFMO and 0.62% for PDP.

Which has better risk-adjusted returns?

VFMO currently has the higher Sharpe Ratio (1.41 vs 0.93), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.