VFMO vs. QMOM
Compare and contrast key facts about Vanguard U.S. Momentum Factor ETF (VFMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
VFMO and QMOM 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. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFMO or QMOM.
Performance
VFMO vs. QMOM - Performance Comparison
Returns By Period
In the year-to-date period, VFMO achieves a 33.70% return, which is significantly lower than QMOM's 41.13% return.
VFMO
33.70%
6.14%
17.83%
47.79%
17.13%
N/A
QMOM
41.13%
8.83%
18.93%
52.40%
17.60%
N/A
Key characteristics
| VFMO | QMOM | |
|---|---|---|
| Sharpe Ratio | 2.54 | 2.59 |
| Sortino Ratio | 3.32 | 3.38 |
| Omega Ratio | 1.42 | 1.42 |
| Calmar Ratio | 3.44 | 1.76 |
| Martin Ratio | 15.69 | 18.23 |
| Ulcer Index | 3.08% | 2.88% |
| Daily Std Dev | 18.99% | 20.27% |
| Max Drawdown | -36.77% | -39.13% |
| Current Drawdown | -1.23% | -0.68% |
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VFMO vs. QMOM - Expense Ratio Comparison
VFMO has a 0.13% expense ratio, which is lower than QMOM's 0.49% expense ratio.
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.
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.
Dividends
VFMO vs. QMOM - Dividend Comparison
VFMO's dividend yield for the trailing twelve months is around 0.64%, more than QMOM's 0.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
VFMO Vanguard U.S. Momentum Factor ETF | 0.64% | 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 | 0.62% | 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.
Volatility
VFMO vs. QMOM - Volatility Comparison
Vanguard U.S. Momentum Factor ETF (VFMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM) have volatilities of 5.75% and 6.04%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.