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

Correlation

The correlation between VFMO and QMOM is 0.90, 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.


-0.50.00.51.00.9

Performance

VFMO vs. QMOM - Performance Comparison

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

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
130.13%
128.31%
VFMO
QMOM

Key characteristics

Sharpe Ratio

VFMO:

1.55

QMOM:

1.58

Sortino Ratio

VFMO:

2.13

QMOM:

2.18

Omega Ratio

VFMO:

1.27

QMOM:

1.27

Calmar Ratio

VFMO:

2.47

QMOM:

1.29

Martin Ratio

VFMO:

9.34

QMOM:

10.32

Ulcer Index

VFMO:

3.23%

QMOM:

3.20%

Daily Std Dev

VFMO:

19.45%

QMOM:

20.94%

Max Drawdown

VFMO:

-36.77%

QMOM:

-39.13%

Current Drawdown

VFMO:

-6.44%

QMOM:

-8.64%

Returns By Period

In the year-to-date period, VFMO achieves a 27.74% return, which is significantly lower than QMOM's 31.66% return.


VFMO

YTD

27.74%

1M

-4.46%

6M

11.77%

1Y

27.69%

5Y*

15.23%

10Y*

N/A

QMOM

YTD

31.66%

1M

-5.09%

6M

13.00%

1Y

31.20%

5Y*

15.74%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VFMO vs. QMOM - Expense Ratio Comparison

VFMO has a 0.13% 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 VFMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VFMO vs. QMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) 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 VFMO, currently valued at 1.55, compared to the broader market0.002.004.001.551.58
The chart of Sortino ratio for VFMO, currently valued at 2.13, compared to the broader market-2.000.002.004.006.008.0010.002.132.18
The chart of Omega ratio for VFMO, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.27
The chart of Calmar ratio for VFMO, currently valued at 2.47, compared to the broader market0.005.0010.0015.002.471.29
The chart of Martin ratio for VFMO, currently valued at 9.34, compared to the broader market0.0020.0040.0060.0080.00100.009.3410.32
VFMO
QMOM

The current VFMO Sharpe Ratio is 1.55, which is comparable to the QMOM Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of VFMO 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.55
1.58
VFMO
QMOM

Dividends

VFMO vs. QMOM - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.45%, while QMOM has not paid dividends to shareholders.


TTM202320222021202020192018201720162015
VFMO
Vanguard U.S. Momentum Factor ETF
0.45%0.89%1.72%0.81%0.45%1.23%0.70%0.00%0.00%0.00%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.00%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%

Drawdowns

VFMO vs. QMOM - Drawdown Comparison

The maximum VFMO drawdown since its inception was -36.77%, smaller than the maximum QMOM drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for VFMO and QMOM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.44%
-8.64%
VFMO
QMOM

Volatility

VFMO vs. QMOM - Volatility Comparison

The current volatility for Vanguard U.S. Momentum Factor ETF (VFMO) is 6.04%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 6.80%. This indicates that VFMO 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.04%
6.80%
VFMO
QMOM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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